i too feel water cooling is better but still there are many downsides:
It is expensive, hard To Setup, any Mistakes that causes leakage will cost you highly........you can get burned hardware...........and it involves constant Maintainance.(such as filling up the water and checking the pumps)
Any cooling solution can be dangerous if not applied correctly ,
Water cooling should safe enough if done correctly (Just like air cooling). it is just a bit hardware to install (But some air cooler , High end , are also pretty hard to install .)
Air cooling require more Maintainance than water .