I was watching a replay of the U.S. Amateur tonight and on one hole, a guy's ball rolled off the green, towards a hazard, stopping just short on a retaining wall (that was in the yellow lined hazard). As he grounded his club, I wondered if he didn't know it was part of the hazard, but I was wrong (as usual). Decision 13-4/30 says that you are allowed to ground your club at address in a hazard on an obstruction (ie, retaining wall, bridge over creek, etc).
I've played a couple course in the past that have cement lined water hazards (can think of one in Vegas). If they aren't defined specifically as an integral part of the course, I guess that means you could ground your club on the dry edges?