Pretty much. (that or they filmed real watter splashing against a black background but that doesn't sound easy to do)
That's typically the kind of thing that you can only do well by using a video with an alpha channel as a texture.. But making that kind of video is pretty hard; and finding one is near impossible. You'd need to buy some high end video texture library. (and those are usually pretty expensive)
You can try some things with regular animated textures and really complex shaders but it won't look as good and the performance hit will probably be bigger. Some particles would help too of course.
It's the kind of effect we only see in pre-calculated 3D.
