I just bought one of these myself - delivered today - and initial impressions are exactly the same as Baz's. I'm a left-hander so I'm really glad the slotted saddle makes it easy swapping the strings over, and that Kala left enough string to allow me to keep the same strings without making it difficult to refit them. I agree about the zero fret - it's just a bit too high. I wonder if, being plastic, it will eventually wear down to the right height ... time will tell. I'm certainly not going to do anything to accelerate that process though as it's playable as it is.
The fretboard bends very slightly upward as if the tension of the strings is bending it. I don't think it's enough to be a problem, but if you were thinking of lowering the action at the bridge (if that's possible) it's worth bearing in mind. I'll try tuning up to ADF#B some time and see if that makes the bend noticably worse.
I have a Korala Explore too, and yes I reckon the Kala Waterman ticks so many more boxes. It doesn't flex so much, it has fret markers on both sides (albeit yes they won't last long!) and most of all being a soprano it's just more portable - which to me is really the point! Speaking of which, the bag that comes with it is really handy. I cycled home from work with it today and wore the bag like a ruc-sac on my back. Even the straps are adjustable so you can make sure it stays put.
The things I have to say surprised me most about the Waterman are 1. it came with a neat little card with chord diagrams and a couple of songs to try and 2. the songs both included the E chord! Why??!! Granted the version of the E chord they showed was one of the easier ones, but so far up the fretboard it sounded a bit ridiculously high in the context of the rest of the song. If anyone gets one of these for Christmas and those are the first songs they try, I fear they will be rather non-plussed (but if they survive the ordeal at least they will have no fear of the E chord).