VRMs manage the current, if the VRMs start to heat up while having to put out more current, they will become less efficient and put out more heat, thus resulting in unstable currents/voltage when they become overheated.
Generally, the weaker the VRM, the more cooling it's going to need to operate under high current draw ( Overclocking conditions) safely.
Is it safe to OC without VRM and mosfet heatsinks? Yes. Does it exponentially increase the possibility of catastrophic failure? HELL YES
Heatsinks aren't necesary if you'r not going to overclock CPU. Though having standard airflow inside cabinet can help to keep optimum temperature if heatsink on VRM is absent.