Well,
1) Even water-cooled equipment uses forced air cooling to cool the water heat exchanger (unless you happen to own water rights to a river, in which case we have a different discussion). A lot of the highest mark-up goes to bespoke on-prem data centers (e.g. hospitals, labs) where the air isn't necessarily cleaned to spec. I would therefore think you want some stuff between the air and the CPU heat exchanger to force the air around some turns to knock some of the debris out of the air. So a grill makes sense.
2) Most buyers are buying single units, but most units are sold to buyers buying them in bulk, with a service contract.
3) If you're making a grill, it's gotta look like something.
4) You want something that approaches a consistent theme for your accessories: monitors, keyboards, mice, printers, etc. Even without the logos, you can match the HP mouse to the HP keyboard and HP server. Same for Dell, Lenovo, etc.
5) I find the big manufacturers try to slowly evolve their design over the years. You can walk into a place (hospital, power plant, ship, whatever) and quickly identify it as a Dell shop or an HP shop.
6) Electric discharge machining makes it relatively easy to go from CAD drawing to ready-for-production molds.
7) You need some low-risk projects for your young mechanical engineers.
8) At scale, your custom EDM-mold plastic grill may be cheaper than stock filters of sufficiently similar performance.
8) Branding matters.