Every situation is different.
Yes there are times when shelter and warmth are the #1 priority but there can be other scenarios where water could be a #1 priority.

I have been "be-nighted" on a long backcountry rock climb that had a big approach. It was the middle of August in Tuolumne Meadows (Yosemite) and nightime temps were balmy.
I had no worry of hypothermia due to my bringing a balaclava and light jacket. But we ran very low on water during the climb and had to ration. During the descent we were totally bonking because of lack of water. I wound up syphoning some water left in a small puddle in a creek using my Camelback hose.
If we had been forced to bivy I would not have required much shelter but we were already in serious need of water. We didn't bivy but it was 18+ hours car to car.

I know some are thinking "why didn't he take more water?"
Well you cannot climb with a lot of weight so you have to limit you gear and supplies. This is one of the cool things about alpine rock climbs; you need survival gear and supplies but you can not take everything you will need without going too heavy; you need to rely on your skills.
Wearing a big pack or hauling it up will slow you down too much.
Fast and light is the rule and that forces you to be a little spartan.


Later that night we stumbled upon the freshest and cleanest spring seep. It ran out of a crack in the hillside ran into a little catch puddle and then disappeared again into the ground.
We laid on our bellies and drank really deep. It was one of the most refreshing drinks of water in my entire life! No I did not treat it and never got sick but that is another subject.