i know Im wondering that too
and how do they shave their legs lol

Well the fact that it's a show so not everything is completely accurate but you're right if they peed they maybe would turn into mermaids but its pee so maybe that doesn't affect them and maybe not for crying because its too salty. Idk im just guessing

Maybe is because they mangage to dry themselfes so fast or something? Or maybe because the water come from themselfs? They don't seem afraid when their boyfriends kisses them either, but they don't even drink water from bottles.

In 'Sea Change' Cleo was crying and then she jumped into the sea cos she'll turn into a mermaid..
In 'Something Fishy' Emma drank from a bottle with a straw.
And as for shaving their legs, they're mermaids so they're special. Don't have leg hair and as for peeing, why would you even think of that??