Of course coolers are a case of diminishing returns. That's inherent in the fact that there's only so much mobo real estate to be had, so much case volume to be had..
Budget coolers start at about 140w for $30ish. 180w-200w coolers are $60ish and 250w+ are $90ish.
At idle they are all roughly the same temp, @6-10°C above ambient. For $30 it'll keep a load under 70ish°C. For $60 it'll keep same load under 60°C. For $90 you'll be closer to 55°C.
So yes, diminishing returns. In that sense. Considering the cpu doesn't care whatsoever about any temp under throttle. To the cpu, 80°C is identical parameters to 50°C it's only the user who cares. In that sense.
But if your game play puts temps into cpu throttle, I guarantee that diminishing returns or not, your cpu cooler is far to underwhelming for the job. Not only are you possibly damaging the cpu, you are taking away your own enjoyment of the game. Far better to have an over-sized cooler, sitting nice and quiet, with the potential to handle anything you might hit it with than skimp out and get a cooler that's buzzing away at full speed fans, barely able to maintain viable temps in average loads and nowhere capable enough to handle a heavy workload the next greatest game might hit it with, all because you have an issue with 'diminishing returns'.
Get the right cooler for the job, or a better one, either is good. Don't keep trying to justify skimping out over a few $. A $1000 pc is rendered useless if the cpu dies due to you trying to save $10