Cooling the mosfet definitely has it's own advantage, especially for their performance.
Let me try to simplify it as possible :
Mosfets in VR for cpu (doesn't matter if its intel or amd), carry most of the times hundreds of Amps, the hotter their get, the higher their RDS (Resistance Drain to Source), and hence its high current, even a 0.001 Ohm differences could make the mosfet hotter and will dissipates say for example they're switching at 100 Amps (PS : 100 Amps is nothing, on high OCing rig, this could reach 200 Amps or more)
Watt = Current x Current X Resistance
Watt = 100 Amps x 100 Amps x 0.001 Ohm
Watt = 10 Watts of power dissipation at that tiny mosfet
And if they're getting hotter, their RDS (resistance) will getting higher. Eventually this will affect the power and the efficiency delivered for the CPU, especially at OC-ing, cause the mosfet is eating the power by heating it self. And the hotter it gets, the more power it will consumed, and repeat this process in circular fashion (thermal runaway). At the end, about the heating, when they reached their absolute limit, some of them will go poof with a burning mark as we've seen everywhere in pics of burned mosfets in OC-ing forums.
Get some mosfet's datasheet out there, and find for the chart of something like "On Resistance vs Junction Temperature" or "RDS vd Junction Temperature" or similar, it will show you how bad it is when mosfet's junction temp is high when conducting high current, just use the above simple formula to calculate on how much heat it will generate when their resistance increased say by 0.001 Ohm with your CPU power requirement from CPU datasheet, for example a mid to high end Intel quad will roughly consumes approx 120 Amps at "STOCK" speed, a mild ocing might easily get you to 200 Amps or even more.
PS : For those who is curious about mosfet thermal runaway, try this animation
HERE, try click & drag those red dots there, some of you might recognize some of the components there like thermal pad thickness, PWM signal, ambient temperature and other factors, try play with until the mosfet burned out !