I do kinda wonder what happens if they lose coolant.

Helium has such a low heat capacity, it has to be at a fairly high pressure (70 bar in this case) and flow really fast. It's mitigated to some extent by the low density and size of the reactor, as demonstrated by the passive flow being sufficient to cool it.

Also IIRC these fuel pebbles themselves become less reactive as they get hotter and they can get very hot before melting down