Upon throwing one’s last water orb the tool belt graphic will darken to show that you have used up your supply. However, the in game character graphic will still display the water orb in their hand. I do not know if this only pertains to the water orb as I have not tested the other types.
i have seen this with other orbs including the spider orbs from Zath.
The character can even go through the motions of attacking with the orb, though nothing happens. swapping away to another weapon clears it up until the next time one expands all thrown orbs.