When you get your terp fraction, there will also be water in the form of hydrosol (water with minor amount of encapsulated terpenes), but the two are immiscible. Pour the fraction into a separatory funnel and you will see the separation of the oil layer (terpenes) at the top and the water layer (hydrosol) at the bottom. You may have small amounts of water encapsulated into the oil layer (w/o emulsion) but very minor.
Removing fats, you could try centrifuging it but even procedures I have seen still involve using alcohol so its not a true solventless winterization.
Fat content also depends on if you are running Sub critical or super critical cannabinoid parameters.