Exceeding maximum current on VRM if well cooled?
Look more closely at the data sheets (LM2596 data sheet) - they will invariably give information such as the maximum junction temperature and the thermal resistance. In the case of the LM2596 the 3A rating is at 25 deg junction temperature.  There is also a section on thermal considerations (p33) showing how to calculate the operating temperature and recommended heat sinking approaches.

The maximum current is often limited by the circuitry to protect the device in case of short circuit this is in addition to any thermal aspects.

Frequently you will find it is very difficult to meet the maximum ratings as it will be difficult to keep the device cool enough.