Yes, that’s a good thought about the reverse osmosis water. If possible, I recommend using reverse osmosis/deionized water (RO/DI) to fill the aquarium initially and for making regular water changes once the aquarium has been established. RO/DI water obtained from a good source is ultra-pure and using it to fill the tank will help prevent nuisance algae from ever getting started in the newly established aquarium.
If you do not have an RO/DI unit of your own, you can always purchase the reverse osmosis/deinonized water (RO/DI) instead. Most well-stocked pet shops that handle marine fish sell RO/DI water as a service for their customers for between 25 and 50 cents a gallon. If your LFS does not, WalMart sell RO/DI water by the gallon for around 60 cents, and you should be able to find a Wal-Mart nearby. (Heck, even my drug store sells RO/DI water nowadays.)
However, it’s not always safe to assume that RO/DI water purchased from your LFS or your drugstore or some other convenient source is as pure as you might expect. If the merchants selling the RO/DI water are not diligent about monitoring their water quality and changing out the membranes promptly when needed, then the water they provide will not be a good quality and will not produce the desired results. I suggest that you look for an aquarium store that maintains beautiful reef systems on the premises — that’s a good sign that they know their stuff and are maintaining optimum water quality at all times, so the RO/DI water they provide should be up to snuff.
You may also want to consider purchasing natural seawater to set up your new aquarium, Claire. Like RO/DI water, natural seawater can now be purchased at many fish stores for around $1.00 a gallon, depending on where you live. (Petco stores, I believe, often sell natural seawater nowadays.) It sounds expensive, but when you consider the alternative — paying for artificial salt mix plus RO/DI water and mixing your own saltwater — then natural seawater from a reliable source is not a bad bargain at all. It has unsurpassed water quality and seahorses thrive in it.
If you do not have access to a good source of reliable RO/DI water or top quality natural seawater, then detoxified tap water will have to suffice for filling your new aquarium, and many home hobbyists who exactly that. In many areas, the municipal water supply has undesirable levels of amines, phosphates or nitrates, and in the United States, it is always chlorinated and fluoridated, so be sure to dechlorinate/detoxify the water using one of the many commercially unavailable aquarium products designed for that purpose when you add it to the aquarium.
When it comes to the live rock, a number of hobbyists prefer to use live rock rubble confined to their sumps or an external filter to provide supplemental biological filtration and get the benefits live rock provides (increased stability and denitrification ability to help control nitrates, as well as nitrification) without the risk of introducing unwanted hitchhikers such as bristleworms, mantis shrimp, or Aiptasia rock anemones to their seahorse tanks, which can happen when the live rock is placed in the main tank. The live rock rubble does have some advantages over other biological filtration media. The primary advantage is that anaerobic bacteria will take hold in the oxygen-deficient interiors of the larger pieces of rubble or live rock, thereby providing denitrification (i.e., the ability to complete the nitrogen cycle and convert nitrate into nitrogen gas). Other forms of biological filtration only provide nitrification (i.e., the conversion of ammonia to nitrite, and the subsequent conversion of nitrate to nitrate) and therefore cannot help to remove nitrate from the aquarium the way live rock or live rock rubble does.
So using live rock rubble Internet external filter is not a bad option and certainly something you can consider for a seahorse tank. If you will be using a canister filter for this, you’ll want to use one with a large capacity so that it can hold a considerable amount of the rubble (the more live rock or live rock rubble you use, the more stability it will offer and the better it can help control the nitrate level in the aquarium).
Best of luck with your ongoing research and preparations, Claire!