For my sake, so I can better understand the query, let me state that long before there were mainframes on campus and EE's took thermodynamics the term "heat sink" was well known and used in thermo as a generic word to describe a colder state within a system that provoked a heat driving force - something you "dumped" your Btus into. Now, with the new "computer" engineers we are hearing the term "heat sink" in many different and distinct ways.
Are you naming an air-cooled electronic device a "heat sink"? Or is it the air that is the heat sink? This is very confusing because it tends to sway the basic laws of heat transfer if you don't describe how the heat is being transferred. Heat exchange is heat exchange. It doesn't get any fancier or avant garde because it is applied to an electronic board or printed circuit. It works in the same basic manner as it does in a heat exchanger. Whether a water-cooled system transfers more heat than a direct, air-cooled system depends on the sizes of each of the individual units. Its very difficult to compare one with the other unless you state what you holding fixed: the heat transfer area? the amount of air circulated? I presume the heat load is the same on both systems and so are the working temperatures - or are they?
If I were to rely on the most efficient heat transfer system, I would employ the water cooled radiator - mainly because I have unlimited availability of radiator fin surface, while if I rely on putting fins on the electronic gizmo itself and fan-cooling it, I'm limited by its external surface area. Plus I can create more turbulence with water circulation and circulate more water if I have to. However, the "footprint" of the water-radiator system is bigger and it's bulkier. But it certainly can be more efficient than direct, air-cooled units.