As everyone knows, it's cheaper to build your own PC, so with my budget, I have just enough to fit what I want. However I'm a little nervous about if something goes wrong (like your power supply blowing and taking out components with it), so that would mean you're liable for replacing everything.
Not really. If a component fries, you have a one year warranty with the retailer (meaning you return the item to the place of purchase under RMA), and extended warranties with manufacturers (for example, 5 years warranty with Corsair PSUs). The problem is that some items are expensive to ship back, and that's on you. And also, being able to have a good diagnostic on what component failed. That can be a right pain.
It's the same surely with one of the Corsair coolers. If there's a leak and it fries everything, Corsair will surely replace your unit, but you won't have a PC left to put it in.
I don't think so. Corsair covers for leaks and covers all damage AFAIK, although leaks are very rare. Often it's a pump failure or noise more than anything.
Has anyone else not struggled to justify not paying a little more for peace of mind?
Nope, since I'm pretty confident in building my own

I bought my first pre-built, but that's ages ago when pre-built gaming PCs were all the rage, internet shopping was in its infancy and not very secure, and components were hard to find and not that good value for money.
But yeah, you can get a pre-build, saves you the build time and you have better peace of mind. Check out their
pre-built range, some of them are decent value, usually you have to put 10, 15% extra on top of what you'd normally pay self-built. If you don't mind the extra money, then go for it. It's like everything, you pay for the service, and have a little more waiting time (talking a few days).
example :
YOUR BASKET
1 x
"Gold Rush Gamer" Intel Core i5 4670K @ 4.4GHz Overclocked Haswell LAN Gaming PC £666.95
1 x 24 MONTH WARRANTY - COLLECT & RETURN £0.01
1 x KFA2 Geforce GTX 770 EX OC 2048MB GDDR5 PCI-Express Graphics Card (77XPH6DV6KXZ) £319.99
1 x Seagate Barracuda 7200RPM 1TB SATA 6Gb/s 64MB Cache - OEM (ST1000DM003) HDD £49.99
1 x Samsung 120GB SSD 840 SATA 6Gb/s Basic - (MZ-7TD120BW) £79.99
1 x Microsoft Windows 8 64-Bit DVD - OEM (WN7-00403) £79.99
1 x Standard Build Systems - Approximately 5-7 working days £0
Total : £1,215.53 (includes shipping : £15.50).
If you want to best value and want to get your hands on the best hardware and overclocking, go self-built.