To answer your questions: No, there, is no good way to make a coffee ground water collection barrier.
You can certainly mold damp coffee grounds into any shape you like, and then you can watch them fall apart when they get wet - or dry. Not much use for water collection.
No, "something like this" does not appear to be a particularly good idea. Coffee grounds can be useful in the garden, but not as a construction material in the garden. Compost them, as already advised.
The closest I can even think of "working" would be the "mushroom foam" approach from http://www.ecovativedesign.com but that is based around materials with more cellulose, and I don't think it will hold up well to garden conditions, water, and weathering - but you can evidently get a bag of their stuff and try it out, if you like (not affiliated, had heard of their product sometime in the past year and looked up the site.)
You can get things that have been "molded" out of cow manure, too - they also break down in the rain, but they hold together a bit better than coffee grounds (so I hear - spending money for molded cow manure has never seemed like a great idea to me, but evidently some folks like to do that.)