The mainboard makers largely disregard the official Intel guidelines for PL1 and PL2. In the past, they did so silently. The higher-end the mainboard was, the higher power limits they allowed. This looks better in benchmarks during mainboard reviews of course. Only on the lowest-end boards, they stuck a bit more closely to what Intel says, because otherwise the weak VRM would overheat, not to mention that some people might use the boxed CPU cooler there.
With the 500-series boards at least, MSI has added this sort of "Power Limit selection screen":
Of course, for all but the highest-end CPU models, Tower and Water cooler will be one and the same thing. Only a 10900K/11900K has a good chance of surpassing 288W of a power limit under full load such as Cinebench R23 Multi.
But the first option will always adhere to Intel, in this case (i5-11500) to 154W PL2 for 56 seconds Tau, then 65W PL1.
This setting influences the power limits on the 400-series boards:
I think on the 300-series boards you have to do it manually, there is no "CPU Cooler selection" option. MSI makes it seem like the only factor is the CPU cooling, but don't let that fool you, the VRM needs to be good enough too.
So the choice is: Enforce the strict PL1 and PL2 power limits with strict Tau time (Greek letter T stands for the time period in physics) as specified by Intel, or fine-tune the limits yourself to adapt to your cooling. The latter is not risky per se. You simply go by the CPU and VRM/MOSFET temps.
The power limits themselves are found on this page which you posted already (this clean screenshot can be taken directly from the BIOS by pressing F12 and saving to USB stick):
Long/Short Duration Power Limit, and Duration Maintained (4096W is unlimited). Also here in "Advanced CPU Configuration", or in older boards, under "OC" > "CPU Features":
"Intel C-State" to Enabled.
"C1E Support" to Enabled.
"Package C-State Limit" to C10 or the highest C-number there is (C10, C8, C7, C6, depending on the board).
"Intel Speed Shift" to Enabled.
But those are just small things. The main thing is the power limits. Setting strict power limits will constrain the CPU somewhat, as it can't boost the frequencies so high anymore, but it will also keep temps in check.
Here you can see a test i did with a 9600K on my old system:
The AIDA64 at the bottom left is just monitoring the fan RPMs, which i set to a temperature-dependant curve.
What you see here is, the 9600K has a Long Duration Power Limit of 95W, and a Short Duration Power Limit of 118W, with a Tau of 28 seconds. It's actually not going very far above those limits if you disable them all. But observe the fan curves: After 28 seconds, the power consumption drops to exactly 95W, and the temperature-controlled fans follow suit. You can see the slight kink halfway through each of the (almost) three test runs, where the RPMs become lower.
Here is an illustration of the limits for reference:
From
https://www.anandtech.com/show/13544/why-intel-processors-draw-more-power-than-expected-tdp-turbo
You can see, it sort of mimicks that graph, but in a flatter way, cause the 9600K, even with all limits disabled, doesn't go much above PL1.
For CPUs which are not too far over the limits anyway, you can disable the limits altogether without a big downside, or leave them in place, doesn't matter. Provided you have adequate cooling. There are not many cases where long multi-core load will happen, certainly not in games (the power consumption stays below the limit there), more in encoding tasks. But still it's not a huge loss in performance if you apply the Intel limits when the CPU doesn't go far above the limits if it's unrestrained.
For CPUs which are limited more by the Intel power limits, you have to look at it case-by-case. If you tell someone to disable the limits on a 10900K or 11900K, a high-end board and high-end cooling would be a must. Otherwise it will quickly run too hot and you'll have CPU throttling, VRM throttling, or both, which would lower performance. With cheaper boards, you would also worsen the longevity from all components around the VRM heating up too much. But if you unnecessarily restrict the CPU too much, you leave performance on the table.
However, you have another great option to reduce the temps: Select a lower "CPU Lite Load" setting, to use a lower frequency-vs.-voltage mapping for the CPU VCore (requires stability testing).
CPU Lite Load is basically the "silicon quality" setting, they are testing hundreds of CPUs for the variance in quality, i.e. how high of a VCore is required for stability, and then they put in a default value like 8, 12, or even 17 (first time i ever saw such a high value is on your picture), to be able to run 99.9% of the CPUs of varying VCore requirements. If you lower the setting, you are fine-tuning it down, to be more exact to your specific CPU. But you must ensure that it is Linpack-stable.
Linpack Xtreme:
https://www.techpowerup.com/download/linpack-xtreme/
Run Linpack, select 2 (Stress test), 5 (10 GB), set 10 times, press Y to use all threads, and let it do its thing.
It's by far the best tool to detect instability, reacts even quicker than Prime95. Warning, this generates a lot of heat. So watch the temps using
HWinfo64 Sensors.
CPU Lite Load Mode 1 applies the lowest voltage, which can be unstable. The default value will be quite high, to be able to run the worst silicon (highest VCore required in testing) without stability issues. But most CPUs have better quality and you can go lower, decreasing power draw. Stability must be verified. For my 9600KF, it was unstable at CPU Lite Load 3, while 4 was stable, then for additoonal headroom, i went to 5. Rock stable and considerably less power draw than the default. So, work your way down until you hit a setting that is unstable, test the next highest mode, if that's stable, go one mode higher for headroom. When it's hot in the summer, the CPU can be more prone to errors, so set it one mode higher than the lowest stable one, to have some headroom for extreme circumstances. Only if your CPU is stable all the way down in Mode 1, like mine, you can keep it on Mode 1.
As you can see there on the picture (old screenshot from a beta BIOS), in my system right now, i set "CPU Lite Load" to Mode 1 for my 11500. So, no added VCore in any load situation, which is stable for me (good quality CPU). But each CPU has its own lowest mode. You also see all the other options i set, like Package C-State Limit C10 (biggest number C-state available).