There's a very good probability that the expression "water cooled" was placed there by a less-than-fully informed reporter and/or graphic artist.
As you hint, water freezing inside a heat pipe would very likely split it open. In addition, many heat pipes use a liquid that vaporizes rapidly at processor temperatures and reasonable pressures, so the heat is really carried by a vapor, which condenses at the heat sink, giving up that heat, and flowing back to the heat source. I believe a better label would be "fluid cooled."
Fluid Cooled
