The VRM heatsinks are needed for unlocked (K class) CPUs, not as important for locked CPUs like the 10700F.   The issue you will face is that if you install an AIO without the OEM vrm heatsink (or a jumper between the contacts for the VRM heatsink),  you're likely to get an error on POST. They tied the VRM heatsink to the AIO probably because if you have a K class processor liquid cooling and the VRM heatsink is required.  The AIO is an optional upgrade for an air cooler, so the warning is erring on the side of caution. 
Hi, would appreciate a bit of advice. Ive got the Alienware R11 with 3070 and the Intel 10700f. I have replaced the front and top fans with Corsair ML120 Pros following forum advice and am looking to install the Corsair H60 water cooler to replace the stock air cooler. The one issue I read about is the VRM heatsink which isn't in place for the air cooled one.  WIth the 10700f do you think this is important to get or can I live without it, obviously Im not planning to overclock anything in the system.
Aurora R11, Fan & Water Cooling Upgrade