OK before I say much more I want to be clear on what happened. While stress testing, the Thermal Margin Dropped in to the negative numbers and turned red, Correct?
If so this is definitely a CPU overheating issue and not VRM overheating. VRM overheating will show up as the cores throttling but the Thermal Margin says in the positive numbers, green.
When the cores throttle it is meant to lower the CPU temperature, that is why there is a drop in temps. This is common for an overheating FX CPU. Since this is happening with the new cooler, which is much better than the stock cooler it leads me to believe that it is an installation issue. So here are some things to double check to be sure it is installed correctly:
1. Make sure the Back Plate, if different than the stock, is evenly tightened down to the motherboard and not over tightened. Over tightening a back plate can cause issue with the CPU and Ram traces in the board.
2. Make sure you are not using to much thermal paste. To much TIM is as bad as not having any because it then causes a restriction in thermal conductivity. Only use a small pea amount on the CPU then mount the cooler. Do not lift the cooler once it is placed on the CPU IF you do start over. Be sure to use as pure as you can get rubbing alcohol, 90% or above, and a coffee filter to clean both the CPU and mounting surface of the Cooler.
3. Make sure you are using the proper mounts for your motherboard. While this seems like a well Duh thing, crap happens and sometimes we mess up and do not pay as close attention as we should. Go over your Cryorg instructions and double check. Many times it is very hard to goof this up because of how different AMD and Intel brackets are but it pays to be sure.
4. Make sure the cooler is tightened down properly and it can not wobble. It may be allowed to slide from side to side slightly but not warble lifting off the CPU.
5. Make sure the fan pushes air through the cooler out towards the back of the case.