On a standard PC, you can easily have a loop because the radiator is big enough to exhause all that heat. But when your computer or cluster puts out multiple thousands of watts of heat, eventually you need to get rid of tge hot water and replace it with cold water. And when it gets even hotter, you need a steady stream of cold water that immediately gets dumped.
Not one of the types you were asking about, but Hades feels like it’s made for the Steam Deck, and it’s a great game (and also on sale)
For FPS games, Doom (2016) is one of the all-time single-player FPS games and runs great on the Deck.