From the water using steam reforming as I understand it, which is recovered 100% when the cell is generating power. The only consumable ends up being the methane.

Looks like a standard solid oxide cell, going by their glitzy info page [1]. The water is used in reforming the methane but it's not a source of oxygen; that comes from the air.

[1] http://www.bloomenergy.com/fuel-cell/solid-oxide-fuel-cell-a...

You are correct sir. That kind of sucks then.