Phase changing takes a LOT of energy. Think of this, water or ethanol based heatpipes have much higher thermal conductivity than copper, in the range of 10x to 10kx.
They can have a higher
effective thermal conductivity than copper, but it greatly depends on the design/length of the heat pipes. It is a tuned system, optimized for cooling. There is also circulation involved, which, in and of itself, makes a huge difference. Randomly, rapidly evaporating water isn't drastically more effective at cooling than water that is barely evaporating. You can stick the tip of an e.g., Metcal in a small container of water and it will boil it all away, without ever cooling too much to continue boiling it.
Consider how easy it is to boil water on the stove top. Have you ever seen water stop boiling after it started because the rapid vaporization cooled things down too much? Now dump in a box of macaroni (e.g., from a standard size box of Kraft Macaroni & Cheese). It will stop boiling (assuming you're using a typical burner, 2-quart pot, and 6 cups of water as directed), because the macaroni, despite its very low thermal conductivity, has enough mass for the heat to dump into that it pulls the water down significantly below its boiling point.
With a damp sponge, we are only talking about a minuscule amount of water that evaporates when you wipe the tip on it. You would probably need a very precise scale to even measure it. If you want to try, wet a sponge, wring it out as much as you can, weigh it, immediately wipe a hot soldering iron tip on it, then immediately weigh it again.
On the other hand, the amount of solder you are melting onto an iron tip for a typical through-hole joint has enough mass that it can easily be weighed on an inexpensive consumer-grade scale. For example, I weighed 1 inch of 0.025" 63/37 solder wire, 1.1% flux, and it was 0.09 grams.
Keep in mind that flux also vaporizes when soldering, more or less depending on the type of flux.