In the very long term, you’re right. Earth is a closed system, water and all. But in the shorter term returning the highly concentrated salty sludge to the sea (or wherever) is devastating to the immediate environment.
Obviously, dumping huge amounts of sludge into a small area is terrible idea. I’m speaking more in terms of a long-strategy. Unless the sea levels are actually dropping, returning the residue should be enviroentally sound if done correctly. That is, unless something external is actually being added during the desalinization process.