Sort of, but not really. The exemption is in ASME Sect VIII Div-1, and is based on max. temperature, total volume, [and assumes the use of the Safety Valve]
The enabling legislation that gives ASME the force of regulation usually directly exempts water heaters and often a number of other comparatively low hazard devices (small air receivers, utility air lines < 3/4", expansion tanks etc.). They do this on the basis of hazard due to stored energy.
The combined temperature/pressure relief valve ensures that you don't generate steam and hence only have to contend with (generally) a leak of hot water when the unit fails.
See also the Foreword to the Code:
"The Code Committee does not rule on whether a component shall or shall not be constructed to the provisions of the Code. The Scope of each Section has been established to identify the components and parameters considered by the Committee in formulating the Code rules."
It's the local legislation that tells you which code to use. Your insurance company's fine print may also have a say. But if anything applies, it would normally be Section IV, not VIII.
