Weld controls like most other components on a resistance welder conduct large amounts of current. This current can generate heat. This heat must be dissipated for the equipment to operate efficiently. Yes, weld controls must be cooled. Lower amperage units can be air cooled. Higher rated units are water cooled. You must consule your control manufacturer for the recommended cooling requirements for your specific equipment.
As an example one manufacturer's equipment recommendations are listed below for air and water cooled SCR equipment. These values do not apply to other brands of equipment. Check with you control manufacturer for the correct cooling procedures.