I was thinking it would be gallium as well. Shoud it spring a leak, you would not have as many problems as you might think. As the gallium is vented it would freeze and irregular shapes minimising the risk if shorts (gallium is pretty weird stuff, I've got a few kilos at home I play with), in fact, where the gallium would be there are not very many things it can short. A liquid would spell disaster as it would short just about everything. Mercury would not pose a great risk of short either (if it were used, but it will not, especially in Europe because of RoHS), it's surface tension would prevent it from wetting the contacts and pins, only the smallest and sharpest pins would be able to become wetted.
All that aside, there would most probably be an automatic power cutting device in the system should a leak be detected. I can't see it being a problem, good thinking, except gallium is b*stard rapeing expensive, an alloy would definately be on the cards as Oznog has mentioned.
There is one problem with deep immersion/potting of whole systems, that is the things you don't want to get hot, will. It's great news for processors, chipsets and bridges, but bad news for just about everything else. using oil cooling is a good idea though, but cooling should only target things that need it. I think veg oil has a lower specific capacity than water though, so gram for gram of coolant you need a higher spec compressor.