Yes the 253W can only be sustained with adequate cooling, and even then, the VRMs might become a limiting factor. If you're concerned about heat dissipation, don't go with Intel. They can only match AMD in compute power by throwing ridiculous amounts of Watts at the problem.
For a case that can handle 240mm AIO water-cooling in a small form factor (SFF), you can take a look at the lian-li A4 H2O (~10L), although if you don't have any use for a large GPU, there probably are smaller enclosures you could use.
Do Threadrippers beat Intel in single thread ? They are geared for heavily multi threaded applications, not so much single thread. Besides, I'm not sure there are any compact mobos for Threadripper.