Hi @Voskar,
This is a great question! I want to clarify that it's not water cooling, but actually liquid cooling specifically that's recommended. You can find the official resource for the Ryzen 7 7800 X3D here.
Liquid cooling is recommended because it can evenly distribute the cooling better than an air cooler most times. (I personally use a liquid cooling CPU cooler and I've had 0 heat issues).
Here are some cooling tips for AMD Ryzen Processors: https://www.amd.com/en/support/kb/faq/cpu-cooling-tips
You can also check out the list of Air and AIO coolers that we recommend for Ryzen 7000 series processors here: https://www.amd.com/en/technologies/cpu-cooler-solution
Hope this helps with your decision 🙂
Congrats on the upgrade!