The relatively low thermal mass of the water block can allow rapid temperature spikes if the fluid stops moving or is gone. Processors do attempt to save themselves from overheating, but the engineers assume a certain amount of mass is going to be available even without airflow, so the lack of mass can allow damaging heat in a matter of seconds.
Leaks can be very bad as well, even if the fluid is clean, the boards have dust and particles that will mix with the fluid and cause corrosion, a slow undetected leak is the worst as it seeps into cracks and crevices causing voltage to go where it's not supposed to. Worst case would be a slow leak above a bottom mounted PSU, you could end up with mains voltage going to all your sensitive parts at once, blowing out circuit boards on drives.
Granted, that sort of failure is very rare, probably because most water coolers are in gaming rigs for show, and any leaks or failures are caught relatively quickly.