I never had an issue with this. I always liked to have a bottle of water with me and I never got told to throw it away or finish it before entering any place I have been to. I have however spoken with some other people who have said they have been told this, even when it is very hot outside. It makes no sense! Do some places really do this in Las Vegas now?
The only places I have been told I can't bring drink items in are nightclubs and restaurants. Most casinos don't care and can't be bothered to stop people even if it was a rule. I know if they catch you with alcohol you brought in though, they can kick you out.
I have gotten told to throw away drinks in different places but have gone back the next day with a drink again and no one bothered me. I think it depends on who is working the floor and the doors in terms of security. At least that is the case in my experiences.