It's not just health. You are guaranteed POWER. So even if you have no river, and no one will give you any coal, etc, you still get POWER. Even if you have coal, and someone pillages it, you will STILL GET POWER. This is another issue people over-look. And while I won't go over-board into how valuable the GPs produced give (they dont matter much by that stage), it is a big deal. All your other cities can build units, etc instead of polution producing buildings which will be useless after the wonder is complete, and are vulnerable even when working. And not having to worry about meltdowns also is a plus
You should only build ONE coal burning city (if you can get coal), that is the city which will end up building the Damn, as you'lll build it faster. All other cities should only build factories. Then boom, instant electricity when avail an d no hassles.
Now, just possibly, if you find yourself with only one city, then perhaps the damn may not be so usefull as you'll only be benefiting that city, which will probably already have power to begin with. Though it can't hurt getting the Damn, you may ask yourself if those hammers are really worth it, in that case you have an arguement. Though denying the AI from grabbing this wonder if most his cities don't have power yet can be a BIG deal in itself. And thus you may want to build it even if you don't need it.