Water cooling doesn’t really have any advantages in that. Basically air cooling and water cooling works almost the same way, both in the end use radiator/fins with fans to transfer heat of the case. With water cooling one advantage you have is, that the system has some water in it, meaning that it takes some time for it to heat up (usually something like 30 min) which can be advantageous for shorter tasks. But after the water is heated up, it is only matter of how much heat can the system dissipate. And for that there is basically no difference in how air coolers work and water coolers work, they both will transfer heat at some rate. So basically except for shorter loads (where water cooling has some advantages) there is no difference in long duration cooling performance of the two.

The only advantage I can think of is if you have a GPU with really shitty cooling, then adding water cooling to it may help you, but typically that is not really an issue. Modern GPUs overclock themselves anyway and will try to push themselves to the highest temperature they deem safe. So in the worst case scenario, you might lose a few percent of your GPU’s performance. Plus, you probably want to restrict your GPU power draw anyway if you care about power consumption.

Undervolting is when you run your hardware below its default voltage. Basically it is the same as overclocking but in the opposite direction. Quite often, you can lower voltage of your CPU without losing any performance. It really depends on your chip, it can be able to run on lower voltage, or it can be unstable, the only way to know is to try it. But if it works, you can save some power. But it is quite involved process, and it can turn out you won’t save anything. Modern CPUs are pretty good at doing it by themselves.

But overall, you probably won’t save that much in the grand scheme of things. Probably the most significant thing you could do is lowering the power target for your GPU. This will lower the performance of your GPU, but it can save quite a bit of power. With modern GPUs and CPUs, it is not unusual to draw 500W while gaming. Most of that is GPU, so if you lower your power target to like 50% you will probably lose about ~20% performance but save like 150W of power (those are just numbers I think make sense, no sources). It really depends on if you want to get into it, it will take a lot of time, and it might not be worth it for you.