Liquids (aka; sea, lake, river water) are much more efficient at removing heat than gasses (air).
A heat exchanger in physical size is much smaller than a conventional radiator of the same designed cooling capacity.
Taking a lead from haffiman37, you'd also have a huge amount of heated air to remove from an engine bay if a conventional type radiator were to be used. Not to mention a massive supply of air!
Any enclosed marine engine requires the combustion air to be as cool as we can offer it.
So right there is an additional issue with using gas (air) to displace the heat, over that of liquid!
Even in the warmer waters of Florida, for example, the heat exchanger will be much more efficient.
Sea water pump maintenance and trouble-shooting, are just something we must do routinely.