I see that people generally toast coconut flakes, maybe that gets rid of some of the oils. I had never thought of coconut water, I'll check that out!
Toasting coconut does *not* get rid of the oils, but does reduce them somewhat. Honestly though, I think that the oils are less of an issue with mead.
From my experience brewing a coconut porter, in a beer, the oils led to an "odd" mouthfeel, and there was zero head retention. It did taste good though! I used 14 ounces of unsweetened shredded coconut that I hand toasted to medium brown in a frying pan, then dry blotted as much of the oil out of as possible. This was added for 14 days in secondary (in a muslin bag, to contain the mess), and gave a nice nutty flavor. This may give you some ideas for a starting point...(it was a 5 gallon batch of beer).
Also, having brewed a cocoa mead (and, as it turns out, drinking some now...
), I've dealt with oils in mead. I suspect that if you made a coconut mead, it would come out fantastically, but would share some of the physical properties of cocoa mead; ie, it would take an excessively long time to clear, and would need to be aged a very long time to get the flavors to properly incorporate.
I'd plan on doing a bulk aging in secondary of at least a year...you may also want to plan on using some fining agents eventually to get it to fully clear...I fined my cocoa mead twice before it was really clear. Also, this flavor combo strikes me as something that would possibly taste better with a slight residual sweetness, so eventually stabilizing and back-sweetening may be a needed step too.
One last thing to look into that I've heard/read is a potential solution to the concept of adding oily things to homebrew, and that is doing an alcohol extraction. Occasionally I've heard of this technique actually called "fat washing." I've not tried it, but it is one of the techniques I've researched in preparation for possibly making a bacon stout. Essentially you take vodka, everclear, or some other neutral spirit and soak the bacon/coconut/whatever in it for a period of time, then filter out the organic material. You can also make extracts of spices this way so that you can add spices to taste in a controlled fashion at bottling.