OWC's thermal sensor connects only to power - but sends data?
How can this sensor communicate with the iMac when it is only plugged into power?


Because it's not only plugged into power; look at the number of connectors on the logic board side compared to the number of leads on the drive side.

You are also working on the assumption that the power connector is "power out only."  This is not the case.  The SMC can read changes in expected voltages across a circuit as well as send/receive signaling embedded within the power