Hard to say. Haven't made water kefir, but I make raw milk kefir religiously, but I use cow milk mostly. I have used goat's milk for kefir though and it's delicious. I tend to make smoothies with it, with a banana and some berries.
I'm guessing dairy kefir will be more nutritious, but that's only a guess. Reasoning being dairy has more nutrients to start with than coconut water, and fermenting only increases those nutrients (and the kefir grains eat a lot of the sugars too, which is great)