Those directory redirectors are why I have my data stored on my NAS and it's seamless. Though Windows does like to freak out a little when I don't have a network connection, so I'm assuming I might have just done something slightly wrong. It's a situation that happens so minimally often that I don't really mind when it does, especially now that I'm working on a project laptop I can daily instead of firing up my main desktop and sucking up 150W at idle just to browse the web. Since my main doesn't really perform any server functions anymore I can get away with only turning it on when I really need it.
Back to the topic at hand, yeah, consumer hardware makes those assumptions and usually they're right. It also, as a bonus, lets them budget-segment the hell out of professional hardware that provides the IO people who actually use it really need. U.2/U.3 is a standard that never really made it into the consumer space because at the sizes consumers use, m.2 was plenty sufficient.
On the subject of cooling, liquid cooling has come a long way since I tossed my MasterLiquid Lite 240 for the pump noise. You can get reasonably safe coolers that barely make any noise at all. The companies that make AIOs typically have warranty programs in place that I believe will replace any hardware you had that would have been killed by a leak, but these days I'm pretty sure they're using something that won't kill your hardware as a coolant anyway. I still personally will never choose to do it again, but if a platform all but requires it, it's no longer a reason for me to not consider that platform anymore.