Not a stupid question, having built a small form factor PC, I can say that liquid cooling the whole machine would require an 10x effort as you need to install extra equipment to make it work such as: pumps, reservoirs, dealing with tubing, leak testing, annual cleaning of liquid, dealing with corrosion if you use the wrong metals for the cooling parts and million other things.

Note that the author used AIO (all in one) cooling for the CPU, which is equivalent to plug-n-play liquid cooling in a closed loop. You don't have to deal with any of the above with this.

And finally, the GPU are very optimized for air cooling anyways, especially the Founder Edition cards that you see here. You would not see any huge temperature drops going from air > liquid. But liquid sure looks cooler.