I think that you built a nice rig. You won't need a custom CPU cooler- a stock one comes with the i5-6500. The Seasonic is a very good PSU, but is not Haswell ready. I understand that this hasn't been a problem, and if it did become problematic you could disable C6,C7 states in the UEFI.
I do question whether you really want a bare bones MB. The sound is terrible and there are no extra x4 PCIe slots for expansion, e.g. adding USB 3.1, NVMe drive, etc. I would consider a board like the GIGABYTE GA-H170-D3HP even though it is twice as much. It has good sound, a slot for expansion, real USB 3.1 ports, not the fake, actually 3.0 ones found on the MSI.