The A4 will cool better if you use the 92mm aio, probably cools about the same as the s4m with an air cooler. The A4 will obviously have bigger gpu compatibility and supports standard power supplies.
If all you care about is cpu performance, get the a4 and the aio. If you care more about size...
Huh? There are a number of much higher powered PSUs for the mini, including a 400w internal power supply that's compatible with an rtx 2070 card. Look up the HDplex 400w ac-dc. I have an S4m with an 8700k and a 1080 powered by a 450w power supply from GUnique.
Again, I have an 8700k in mine...
The vrm and m.2 will honestly probably be cooler without the heatsinks. They're more for decoration usually than actual performance sadly and that's a downdraft cooler that'll be giving them direct airflow.
I didn't take many pictures while I was building it unfortunately. I'll try to dig up the ones I did take tonight though. It's a Corne keyboard, or CRKBD. It's also known as the helidox: https://mechboards.co.uk/shop/all/helidox-kit/#pcb-option
It has hotswap and low profile versions, mine's...
If I had that case, I'd run it looking just like those renders with all the the guts showing ;)
Edit: if removing the side panels adversely effects cooling too much, then just throw two glass panels on it and still leave the other sides bare
You could probably do just fine without that too though, or just install some cheap aftermarket heatsinks on it and the vrm.
I know some people on the forum have used ones like these: https://www.amazon.com/dp/B079FQ22LK/?tag=theminutiae-20