This is not a simple package that you are looking for. Thermal fluids, dynamics, what about non-linear? I have used Algor for most (maybe all) of these and I like it. I am also a fan of AMPS (
or amps.borowskiengineering.com), which has a similar engine to COSMOS with some modifications for the modern programming language used for AMPS, but no matter what package you choose, you are looking at a pretty good price tag to do all of that (minimally $12k up to about $25k, maybe more). And I would say forget the SolidWorks integration.
All of these packages have ways of getting solid models fairly seamlessly into the FEA package. If you are running complex models, you don't want the overhead of both the FEA package and the CAD package...unless your budget also includes a monster hardware purchase.
I would be concerned about support from COSMOS. From what I hear from the SolidWorks dealers, access to COSMOS tech support is limited even to them. I've heard great things about Noran's support of NEiNastran and I've experienced Algor's support with satisfaction. I provide some of the support for AMPS, so I like to think it is good.
If you are limited to Algor and COSMOS, I think both products do linear statics and thermal well (otherwise, they would be out of business). I haven't used COSMOS for dynamics or fluids. I think Algor's support is better and its future is more stable (COSMOS is owned by the same people that just bought...is it ANSYS?...about a year ago). Cost wise I think they are about the same. I still say get a demo and try them out. Both will provide limited trial versions...actually, I think Algor's is just time limited with all the capabilities unlocked.