the only "burned" R4Es I've seen have been the 8-pin CPU power connector(EPS +12v). It's caused because those people are pulling too much current through those connections. That's why Asus included an additional 4-pin CPU +12v connector, so the current would be split among the additional wires as well and something like that wouldn't happen. They(Asus) also included the additional 6-pin PCIe power connector and 4-pin floppy connector next to the OC Key connector, so you can provide additional power to the expansion slots and RAM, respectively, without pulling that power from the 24-pin connector and possibly burning that up.
As long as you have active cooling on the VRMs(a fan over the stock heatsink or, in your case, a waterblock) they should be fine.
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