Since you shut everything down at once after the alarm, it is unlikely any real damage occurred to the engine. the engine is always in a water bath due to the coolant so it would take a bit longer to overheat the engine even with the heat exchanger out of the water. The first thing to get hot would be the exhaust system which is cooled by raw water, and in your case the (non-existant) hose water.
The exhaust system is cooled with lake water/hose water so it does not melt. It is most likely the overheat alarm was triggered by the exhaust temp. sensor, not the engine temp sensor. I would inspect the exhaust system very carefully, especially the rubber hose that links the two mufflers (can't remember off hand how it is hooked up but I know there are one or two big rubber hoses). If nothing looks melted or fried then you are probably ok. Unfortunately, the rubber hoses would melt from the inside out so the outside may look fine but melted on the inside which could cause it to blow at some inconvenient time when you are out on the water well away from shore. I would probably take off the rubber hose(s) and inspect them from the inside to be safe. If that checks out you probably got away with this mistake unharmed. Hook up the water to the boat again, run it for a couple minutes (with the water on this time) and look for any leaks (water or exhaust gas), if nothing then you are probably good to go. I'll keep my fingers crossed for ya!
--Deven