Sure, the CO2 can put the water heater pilot out if it is thick enough. The point is that it really is no big deal when the pilot goes out. This whole thread is built on passing on information to make people panic!
There are folks whose main job is designing safety features and making sure consumers are safe when they use equipment. A water heater is designed to avoid gas leaking and blowing up the house. People can screw things up but they have to work at it to blow the house up. The same things apply to using CO2. In this country, if it doesn't have big tags warning you of the hazard, it is likely there is no hazard there.
It is worth noting that there are no warnings on CO2 and there are millions of CO2 tanks used all over for all sorts of work.
Even kids who are not allowed to buy model glue are allowed to buy CO2!