A few changes but as SgtScream has suggested, make your budget count....9700K matched to a Gigabyte Z390 Auros Pro Wifi motherboard which has an excellent 12 phase VRM setup that will allow for great overclocks if required and you save a fair bit. Cooling with the 240mm AIO from Cooler Master (You could change to the tried and trusted Dark Rock 4 for $5 more than the AIO). Crucial 1TB NVMe SSD drive which is great value and at a great capacity. And finally the RTX 2080 Super from EVGA which will provide a great gaming experience and will work the 9700K properly!
You could drop down to $1535 by changing the GPU to the Gigabyte RTX 2070 Super Windforce instead but hopefully this gives you some ideas as to what can be achieved with your budget...which is a lot!
Hi, on the AIO water cooler, no you do not need to buy anything extra at all so no water required. It is a sealed unit that you just install which is also fairly easy. Corsair have some very good You Tube video's showing installation.