It is definately not necessary to be sore from working out to retain water.
Being sore is called DOMS. (Google it)
DOMS do not mean you got a good workout and lack of DOMS does not mean you didn't.
In fact a well designed workout program means you'll almost never experience DOMS because a well designed program will break someone into the new activity gently and ratched up the intensity over time. This gives the trainee the ability to focus on form while learning the activity and helps prevent injury. Unfortunately many people believe if they're not sore they didn't get a good workout and knowing this trainers will push new people too hard early thus form suffers and DOMS result.
There you go - more than you ever wanted to know about the topic.