Whenever you remove the cooler you need to replace the thermal paste, otherwise you'll create lots of air bubbles, which defeats the purpose of thermal paste. Removing the cooler from the CPU is safe, as long as you don't yank it off. If it doesn't want to come off, wiggle it around a bit to loosen up the thermal paste. It'll come off safely if you're patient and cautious.
I strongly recommend pre-building because it is not that uncommon to receive a part that's DOA, and it really sucks to disassemble your computer because of one bad part. It's happened to me at least 3 times: bad PSU (especially sucked because I didn't know until after I did a great wiring job), bad stick of RAM in a mITX system (also sucked since I had to remove the motherboard to get access to RAM), bent CPU pins). Just make sure you can boot up to the desktop and run a stress test for a while (I recommend Prime95 blend test) before finalizing your build (putting in case and wiring).
You shouldn't need to remove the cooler however. Mounting the radiator is not necessary for the pre-build; just place it next the system. Cooler should fine as long as tubing remains kink-free and fans can move air through the rad.
Ok, so I have another question: How difficult would it be to do a pre build, run the tests, and then take apart most of the build (leaving only the motherboard, CPU and CPU Cooler attached)
Could I install the motherboard in the NZXT H440 without taking the CPU or Cooler off? Is there any risk?
If there is, I will buy some thermal paste. What thermal paste do your recommend? (The Kracken has pre-applied thermal paste)
Wait a second! I just realized something awesome! The CPU comes with a stock CPU Cooler. I can use the stock cooler for the pre-build, and then use the Kracken for the real build.
(I will plug in the Kracken to make sure it works before I put it in though :)