If you're blasting enough air around to cool a 600W GPU, you don't care if your GPU's power connector dissipates 10W under certain circumstances - the massive airflow will take care of it.

Take that airflow away and you have to be a good deal more careful with your connector selection, quality control and usability or you'll risk melted connectors.

Water-cooling connectors and cables isn't common, outside of things like 250kW EV chargers.