Water placed by bucket in the Nether evaporates immediately because it is already room temperature. Water placed in the Nether by melting ice should theoretically heat up and then eventually evaporate, perhaps on the same basic logic as the snow biome freeze effect. Note, I realize this is a borderline feature request, but it can also be considered a balance issue.
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The ice melting in the nether for water was in the game before but it didn't evaporate, but it was removed. The feature probably will not be re-added anytime soon.
I was under the impression that the main point of water being unplaceable in the Nether was to prevent you from turning lava into obsidian, whether for easy collection or safety. You can still bucket or block it up, but that's not nearly as quick and easy as placing a water source and converting large swathes of it to obsidian.
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Water simply does not exist in the nether. It is too complicated to do this and serves no purpose.