the little feet stablize the hsf or waterblock or coldplate or whatever on the die of the processor. don't remove them, they're very good at what they're meant to do.
are you only planning on using watercooling? if there are no peltiers involved, then you don't need to insulate against condensation. you won't be able to cool below the dew-point just with normal watercooling.
have fun!