Because salt is corrosive, and the real estate is expensive.
Why not build in the cold north? Snow, ice breaking stuff, more expensive construction and work.
There’s a common misconception that these data centers are so big to literally suck up all resources… that’s not it.
It’s just corpos cheaping out.
Why the desert? Because evaporative cooling is cheap as heck, and low power, and works best in dry air. And the land is cheap. And grid energy is cheap.
Why local power plants and generators? Because it’s cheaper than grid energy; it cuts out the middle man. And it increases reliability. Not because there’s literally not grid capacity.
Hence, you are onto a thermodynamically interesting idea. The waste heat could be a “preheater” for desalination.
But of course they are not going to do that: it would cost more money.
Nor would they hook up the waste heat to local communities. Why would they pay to do that and extend construction time?
Also, as a counterpoint, osmotic desalination (which requires no heat) tends to be cheaper anyway, but is still a very, very expensive water source.