It's not that the water "blew away" in the solar wind, it's that the atmosphere did, taking the water vapor in the atmosphere with it. This is a very gradual process, which would happen on Earth too, if not for the magnetic field.
I don't know that the collision with the moon is the secret here or not. I think it's complex.
Mercury has no magnetic field, and no meaningful atmosphere like we'd understand it. Venus has a minimal magnetic field, and is covered in hot dense CO2 layer because the solar wind blew away all the hydrogen and continues to blow away the atmosphere. The Earth has a much stronger magnetic field that has protected our oxidized hydrogen, and good evidence points to the giant impact hypothesis.
I don't know that the collision with the moon is the secret here or not. I think it's complex.