The waste water from coal power plant never comes in contact with the coal. Water is boiled in separated tubes and is cleaned to the degree that it's too clean for humans to drink it (it's deadly for us), that is the bigger issue when swimming in it. There are no traces of neither arsenic, lead or selenium in the water at all. The coal power plant (and all other power plants) water needs to be clean so it doesn't corrode the tubes of the boiler or the blades in the turbine.