Not sure what you mean by denser and cheaper than water.

When I was a HS student, I ended up having the use of about 20L of mercury for a science fair project around MHD - there were objections to my use of plasma as a conducting fluid (normal use case for MHD). Mercury is lots heavier than water - it's also much more expensive - as well as being something we're supposed to avoid contact with. We didn't know back then, it was metallic, not organic - and I'm fine 50+ years later (plenty of time for long term side effects to appear).

Oh, and yes, there is tritium (so heavy water). but it weighs about the same as normal water and is absurdly expensive.

If you mean denser weights for the pulley/cables/tower arrangement, I guess that could make it smaller.

Height plays into all this. For the weights, you have 1G acceleration for the entire time a weight is in suspension. For pumped, there's 'head' (pressure goes up proportionally with height differential between inlet and outlet). I don't know the relative efficiency of low head vs high head turbines - something to look at if your comment had anything to do with that. Oh, and I would guess that cable/pulley friction losses stay the same, while resistance goes up with pipe distance (until flow goes chaotic).