Protoporphirinogen IX formation in Heme synthesis
So, will a water molecule form in this step. 2H+ will come from the two carboxylic groups and oxygen will combine with it to form water. Will water molecule form in this way?


No.  

Firstly, note that there are 4 more hydrogen atoms in the reactant than in the product (one from each carboxylic acid group and one where each double bond forms).  

However, at physiological pH, the two protons on the carboxyl groups will not really be there.  The equation in the question also ignores the 4 electrons transferred.  

As for the other two protons, a 5’-deoxyadenosyl radical abstracts a hydrogen atom (proton + electron) from each propionate side chain. 

See Coproporphyrinogen III Oxidase Enzyme and references cited therein for more information.