Keeping power electronics cool
The fluid does only provide cooling when it is flowing, transporting the heat from e.g. the power module case to e.g. a heat exchanger. So if you want to replace a heat sink plus fan with a fluid like oil (or water), you have two options:


Natural convection, where the oil flow is simply driven by temperature gradients and gravitational field. Oil is better in "transporting" the heat than air, but viscosity (characterizing the ability to flow easily) is much higher. 
Forced convection, where the flow is driven by a pump. If you already need a fan for air-cooling, a pump is probably required because natural convection might be not enough in your application. 


Applying liquids for cooling basically just transports the heat away from the lossy component. Therefore, additionally you need a heat exchanger to dissipate the heat into the environment. In the most simple case this is the converter housing wall which needs to be of large enough surface. If the surface is not large enough, you need a heat exchanger which employs a fan for air-cooling. 

In transformers (and some medium-voltage power electronics) a main argument for the oil is its properties of electrical insulation.