You can really think of the oil cooler as a heat exchanger, rather than something like a radiator... If you were to, for example, stuff it inside of the fender, out of the airflow, it will still dissipate heat to the surrounding area, just not as efficiently as if it was in direct airflow. When you think about it, a lot of the racers have diff coolers and/or trans coolers in the trunk, with no airflow to speak of, and that works out well... Yes, you will have more efficient transfer of heat in the airflow, but the real question still remains: Do you NEED that efficiency? The downside is, of course, more potential for damage with it exposed, not just from an "off," like mine, but also from debris hitting the grille at speeds potentially in excess of 200MPH. Think about a rubber "worm" coming off the rear tire of an M3 ahead of you, being shot backwards at 100MPH, and here comes your oil cooler, moving forwards at 100MPH... When I pulled the cooler, I had a small, but noticeable dent in the plates from impact with a blue-bottle fly... Said fly was, of course, smeared across the cooler... Have you ever noticed how "embedded" bug strikes are on your windshield after a fast track session compared to a highway run? Now, add mass to that and the damage potential is high.
For experimental purposes, I may block off the corner of the fascia (racers tape FTW!!) next weekend just to see what that does to my oil temps. If I can find the time to do the experiment (assuming that I remember....), then I'll post data points here after I come to some conclusion. My gut is telling me that the cooler is more thermally efficient (read: larger) than is actually necessary, so degrading the efficiency of the heat exchange will have no noticeable impact on the oil temps.
If you look at the pic in full size, the cooler is in the lower-right corner of the fascia, right above the crap on the splitter.