Separation of sulfur dioxide and sulfur trioxide in the contact process
You are true that $\ce{SO2}$ is very soluble in water but it depends on the temperature. Also, $\ce{SO3}$ reacts with water then dissolves in it in a very exothermic way. My understanding is that, if the quantity of water is well adjusted, you will actually get hot concentrated sulfuric acid and sulfur dioxide is not quite soluble in it (ca. 8 g/kg at 120 °C). So $\ce{SO3}$ reacts with water and sulfur dioxide gas can be recirculated.

HTH