Why aren't current CPUs designed for more powerful cooling systems?
The surface power density of present day CPU/GPU logic is somewhere between a nuclear reactor rod surface and a rocket nozzle at several W/mm². Caches are being inserted (among other reasons) to reduce average power density.
Present day cooling is already very efficient within the bounds set by silicon's internal heat diffusion capabilities and the silicon-to-something transition on the surface of the chip. This usually means soldered Si-to-metal bonds. You could improve cooling by immersing the whole running system in a liquid (not a liquid in a copper cooler!), but performance will rise far less than proportionally to the increased power.
Striving for better parallel computation power and better Perf/W is therefore a much more reasonable or in fact the only way forward.