Actually, oil as a coolant has been tried. Rumely "Oil Pull" farm tractors from a long time ago used oil instsead of water as a coolant, and they were a somewhat popular tractor and seemed to be reliable.
Water is an excellent coolant, as long as it stays in liquid form. If it changes to steam, its heat tranferring ability falls dramatically. The problem is that inside an engine, hot spots can result and the water or water/antifreeze will turn to steam, causing the loss of ability to cool that hot spot so the hot spot will grow.
Pure Proplyene glycol, unmixed with water, which is what Evans Coolant is, will stay in liquid form inside an engine at much higher temperatures than water, and so will transfer heat out of hot spots in an engine much better than water(steam) will. When it gets to the radiator, it will not transfer the heat to the atmosphere as well as liquid water, but that as big of a problem. So, if you are comparing liquid water to propylene glycol, water wins, but if you are comparing water in the form of steam to proplyene glycol, which what can exist in an engine, proplyene glycol transfers heat better because it stays in liquid form at a higher temperature.