it's easy to find water on the moon, ever since Apollo 11, anyone can go say that there is water on the moon, haha.
As for mars, there's a lot more evidence for water now. the canals and all those other erosion stuff we see earlier could be caused by any other liquid, since Mars is so cold, doesn't have to be water.
The sun's surface isn't really that hot, but it's atmosphere(corona) and core are verry hot.
As for Neptune being colder than Pluto, well, that's possible, but I doubt it's because Pluto sometimes gets closer to the sun(although this is a fact) or about icy cores or whatnot.
I think Pluto probably has more ice than Neptune, since Pluto was most likely a comet(made of ice), but the reason why Neptune may possibly be colder is due to it's larger size(higher total heat capacity), and it's thick gaseous atmosphere, which traps the cold(like Venus's atmosphere trapping the heat). Pluto is small and has more surface area/volume ratio than Neptune does; therefore, Pluto is more affected by any changes in temperature surrounding it than Neptune is.