Not all of them did. I have a 712 PA-RISC workstation and its CPU is passively cooled with a spring loaded tiny cooling block. They didn't even bother to use paste.
It was weird, I worked on those superdome machines for years without seeing them. and only got to see them when they had to debug some of my serial port code (it turned out the cable was wired wrong...)
HPUX had some really interesting Real Time Extensions. I was on a exploratory group for switching to Linux and scheduling control was going to be a problem (15 years ago...)
But those were in a class of their own... :) If you scale things up that big they're going to belch heat no matter the architecture.
I don't think PA-RISC was inherently worse at performance to Watt than other competing processors at the time.
https://bytecellar.com/2016/03/02/a-quick-tour-of-the-hp-900...