The basic difference
Steel weights apply a known mass using solid test blocks or fabricated counterweights. They are familiar, robust, and well suited to controlled environments where the test setup is repeatable and handling equipment is already in place.
Water bags achieve the test load by filling purpose-designed bags with water on-site, usually while the test item remains in position. This allows the load to be built progressively until the required proof load is reached — without transporting heavy solid masses to the test point.
Steel weights move the mass to the site. Water bags create the mass on the site.
That difference can reduce freight, handling, setup time, and congestion around the test area.