I'll make an attempt of partial answer here, and perhaps extend the question a bit :
I think liquid water-gas water are already phases that spontaneously break symmetry of say your "water Hamiltonian". Since you can go continuously (without any phase transition) from one phase to the other phase (by going around the critical point at high temperature and pressure), these must have the same symmetry.
I think that a very related picture is to consider the ferromagnetic Ising model (which shares the same universality class as the water-gas critical point) but with a longitudinal field h that couples uniformly to z-spins. The Hamiltonian of this spin system is invariant under time-reversal symmetry.
If one has zero field, then we know that at a certain critical temperature (Tc), the spin-system (assume it's an infinite system) exhibits a spontaneous symmetry breaking - i.e. the system chooses an order parameter (local z-moment) that is not time reversal symmetrical - from a paramagnetic phase to a ferromagnetic phase (or vice-versa).
Now, if one turns on the longitudinal field (h), the Hamiltonian is no longer invariant under time-reversal symmetry, which means that even if you were to start from say the infinite temperature and finite h-field, as you lower your temperature, your system will never exhibit spontaneous symmetry breaking, since the h-field that you are applying already breaks time reversal symmetry. In other words, the positive and negative magnetization phases break time reversal symmetry, but do not break any symmetry of your Hamiltonian with finite h.
Hence, the phase with positive magnetization can be related to the phase with negative magnetization by going continuously around the critical point (as for water-gas !). Moreover, like water-gas transition, there is a line of first order transition that terminates at the critical point : this line for the Ising model is the h=0 line with T
Therefore (and this is my point), the phase of your system that you want to look at and that has a different symmetry state must be along that line of first order transition (and is not the gas or water phases). In the case of the Ising model, it's just a ferromagnet breaking time-reversal symmetry of your Hamiltonian (h=0 line). However, for water I do not know how you characterize this phase. I guess a logical question to ask now would be : what does the Hamiltonian for the water looks like... and what are it's degrees of freedom. Then, one can answer your question about what symmetry is in fact broken.
Hope this helps a bit.