Yup. The clean water from the sky (relatively speaking, of course, depending on local air pollution ) is just water, but the oil- and silt-loaded water from the road makes the real mess.

It's best if you can get fenders that drop low enough to keep water away from the bottom bracket and away from the rear. If you draw a line from where the tire meets the road to the rear-bottom edge of the fender, then extend that line, you'll see whether the fender is long enough or not. Most fenders aren't long enough, but some models are, and you can also find extension flaps to attach to whatever you've got.