You can use it with only air cooling.
The VRM heatsink has a standard heat pipe and fittings for water cooling. It is not required to use water cooling on the VRMs, but the option is there.
Since this board is only a 12 + 4 phase VRM design, which is not really that many compared to other high end boards available, maybe it needs the extra cooling since they only use 12 VRs for the main CPU power. OTOH, Sandy Bridge and Ivy Bridge CPUs are very power efficient, and don't need huge amounts of power, even when OC'd. IMO, put the money into more VRs rather than cooling hardware for to few. Check the TweakTown review of this board and see what they say about this.