Reduces performance of engines and rotors. Water vapor is gassified H2O (18 grams per mole), which is almost half the density of air which is mostly N2 (28 grams per mole). Thus all wind machines (rotors and compressors) have higher Density Altitude when they have more moisture in the air.
An engine also suffers on the combustion end when moisture rises, since that H2O has no free oxygen, while air has about 20% free O2. Thus, higher moisture blocks out some of the oxygen needed for burning.
Engines are rated with some moisture assumed in the air, so spec power is not changed much. Also, helos ar tested in normal air, and the performance is not backed down for dry air, so the "normal" performance charts include some humidity.
The net effect is that high humidity reduces performance. The good news is, the moisture content of air is not very high, so the effect is not tremendous. Count on a max of 2% power loss in the highest moisture environment relative to completely dry air, and maybe less than 1% for "normal" air vs fog.