In your example, the water is not traveling along with the wave. Rather, the energy being transferred by the wave causes the water to move at the point at which the wave's amplitude is nonzero. The water continues to move because the energy that was transferred from the wave must be dissipated through motion, but this movement is not propagating along with the wave, as it may appear.
Think about what's happening when a wave propagates: energy is being transferred at a particular velocity. For this to happen, the wave must be experiencing elastic restorative forces, which are being transferred in a particular direction. Recall that the Newton's most general derivation for the definition of force is not F=ma, but F=dp/dt. So, whenever there is a transfer of force, there is a transfer of momentum. Hence, waves transfer momentum, even if they don't transfer mass.
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