It's somewhat rare or unlikely for aio coolers to leak but they can and do. Anything manufactured can fail, it's up to you whether or not the risk is worth it even if it's a low risk. What damage occurs is also unpredictable, it could just fry one component or it could kill several. Aio's work ok, after awhile they will fail. Moving parts tend to give up and they don't use the highest quality of components in order to keep the price competitive and appealing. An aio costs around $100 while custom loops can cost $300-500+.
Usually aio's last a couple years, some longer some less. Air coolers have a fan that can stop working but otherwise no other moving parts or anything to leak. If using large air coolers, the weight can be a problem...