This is a relative question; a mech that is small enough to be neck deep in the water will have the heat efficiency increased due to the heatsinks being submerged in water. A mech that is only waist deep in water will not as, you are correct, nobody really uses SHS.
Other than taking less damage when in water (lights primarily) i wonder if there is any other benefit/harm to being in water.. A mech that is more than half submerged should get a major cooling benefit from being in water. (and should create a steam cloud around itself)
I would love to run my over-heating locust into the water and yell "Tsubaki! Smoke bomb mode!" and then disappear into a cloud of steam.
Any body part with heat sinks in it that is submerged in water will emit steam. Just not very much steam, about as much as a tea kettle.
That's a bit contrary to the thermal vision mode, which shows the entire mech (legs included) as beint white hot.. If the entire mech heats up, it would be correct to say that heatsinks are not required in the legs to cool off the mech. There just might be less cooling...