I have used boxes of instant pudding for both actual baking and messy play. I have never tried using water, but if you use about half the recommended milk, you can add in a small tub of Cool Whip and get a pretty nice pie filling. Using more or less milk obviously affects the thickness, if you prefer your pies runnier or thicker.
Love instant pudding , and water works just fine for mixing if you don't want the dairy smell. Depending on the water you can make it thick or thin, very messy and is even better with a big scoop of cool whip on top . Makes good thick gunge too. See my pics below, some are pudding pies with frosting , others are pudding pies with chocolate syrup and chocolate whipped cream. Also vanilla pudding slime.