The liquid cooler was a fun challenge. Not only for installing the integrated radiator / fan assembly, but detangling the wiring. The fans (and pump) are wired for both RGB and Adaptive RGB (ARGB) lighting. I decided to go with RGB. I connected the fans to the dedicated motherboard RGB connector via a 4-to-1 cable harness (3 fans + pump RGB). If you want ARGB, the appropriate USB adapter and cables are supplied.
I'm glad the motherboard was designed for liquid cooling, as it has a dedicated "Pump" connector which has a higher current output than the other fan connectors. I plugged the pump connector into that, and the radiator fans into the CPU_Fan connector via a 3-to-1 fan harness adapter cable.
Here's what I ended up with:
The aluminum heatsink (stamped "Lightning Gen 4") just above the GPU is covering the first M.2 slot. I have my Samsung 990 1 TB SSD mounted there. Not shown is a SATA SSD mounted on the backside panel. (While I was waiting for parts to arrive, I consolidated my dual-boot Linux / Windows configuration into a single drive on my old PC. I then cloned the contents onto the new Samsung 990 SSD.)
Note the Y-cable harness on the power connector. These cards draw a ton of current and must be fed using two PCIe power cables. The Y-cable was supplied with the card.
The GPU support bracket is just below the GPU marked as "MSI". It's attached across the top of 4 slots and is held in place by the slot screws.
Just below the support bracket is the aluminum plate heatsink (stamped "Lightning Gen 4") covering 2 additional M.2 slots.
This view gives a different perspective.
At first power-up, everything turned on as expected. Except there was no video output whatsoever. After waiting a few minutes deciding how to proceed, the PC booted into Windows 11. I'm guessing it just needed the extra time to configure itself.
I then noticed that my keyboard was not being recognized at boot.

After losing a few hours on this, Google finally came up with the answer. MSI has a known problem of finding keyboards over USB 3.0. My motherboard back panel has 6 USB ports. 4 x USB 3.0 ports and 2 x USB 2.0 ports. The panel isn't marked for that, but if you read the manual and see the picture which shows the mouse and keyboard connected to the USB 2.0 ports (the black colored ones), you'll quickly understand why they did that. I plugged my mouse and keyboard into the USB 2.0 ports and the keyboard worked (along with the mouse). Frustrating.
The other frustration was Windows 11. When the drive was on my old PC, I did a clean install and activated the license using my existing Win 10 product key. After moving the SSD to my new PC, Windows 11 refused to activate. Long story short, I got it activated via phone. Tip: Use a cellphone. After entering those 9 groups of 6 characters on the keypad, Microsoft will text you with the corresponding 9 groups of 6 characters which validate the activation.
I had to do this twice because Microsoft wanted to know how many copies use this license. I mistakenly answered "1" but they really meant how many other copies are installed. This time, I answered "0" and my license was activated. The license now shows in my Microsoft account.