Typically all are kept wet to prevent clogging and help clear away waste.
It is not critical for a silicon carbide flattening stone (what I am assuming you are referring to), but while all your other stones are already soaking in a tub of water it pretty much makes sense to just go ahead and toss it in as well as you will use it frequently throughout sharpening as water stones wear quickly (particularly the coarser stones) and need regular flattening. Besides, keeping it wet helps to keep the waterstone wet. The flattening stone should have come with some documentation covering its use and care (I know the Norton flattening stone does). If yours did not I can see if I can still find mine and scan it for you.
When the flattening stone requires flattening (and it will occasionally) you will want to use silicone carbide or zirconium sandpaper adhered to either a granite slab or a heavy plate glass. Alternatively you may also use a suitable diamond "stone" (as large or larger than the flattening stone) -- you could also use the diamond "stone" as your primary flattening stone (but granite and sandpaper are cheaper).