I finally got back to my desk where it's easier to look stuff up. Sure enough, there are industrial abrasive recycling systems for water jets. The reasoning, beyond the sheer cost of the abrasive, is obvious once you think about it: most of the abrasive never touches the workpiece. Assuming your feed rate is appropriate, only the leading half of the effective cylinder of pressurized abrasive does any cutting. And the abrasive is typically usefully friable (not as much as engineered materials, but enough to still be useful). Only the abrasive that was completely pulverized is not reusable, and it can be screened out.