Distilled water provides the best heat transfer. When you start adding solutes to the water, the thermal efficiency drops.
Dyes are fine. It will likely stain tubing, but you are tossing it out eventually anyway. I've never seen dye stain blocks. Coolants can particulate out at high, sustained temps (24/7 Folding, etc) and clog pin matrices in some blocks. Just FYI...this includes some Mayhems.
Brass, copper and nickel are typical watercooling component metals; avoid aluminum. If you have to run aluminum where it comes in contact with water, you'll likely want a coolant that provides anti-corrosive properties, or glycol solutions that are similar to automotive coolants, but less concentrated.