At some high level of charging speed, won't the adapter need active cooling and temperature monitoring?

I wouldn't imagine so; a short, rigid adapter could have very thick conductors which would have low resistance relative to flexible cable. And being a passive adapter, it would be easy to make very heat tolerant.

The current high speed connectors are actually water cooled.

Correct, but that is necessary in order to get a relatively lightweight and flexible cable to carry huge loads. It’s not nearly as important for an adapter which is, for the DC pins at least, a solid bus bar encased in heat resistant plastics.

I was thinking that the contact resistance would create quite a bit of heat as well, and if there's nowhere to dissipate you can get quite hot. Even if a high temp plastic can take it, you might burn the person handling it.