There is no known substance (on earth) that can change from solid (powder), to liquid and then to gas within a temperature range of just 60 degrees Celsius (or Kelvin) - that from normal room temperature (25C) to the normal maximum temperature of mobile processors (85C) at normal pressure values. Phase changes require higher temperature differences (at constant pressure) and higher pressure differences (at constant temperature).
As for your original post, the statement really isn't right in referring to "Microsoft" as "claiming" that the L950XL has liquid cooling. They made it. They assembled it. They designed it (whether in whole or in part). They know what's in it. What's left is for them to "declare" (not "claim") what's in it or what's not.
Liquid cooling works essentially the same way how radiators work in cars, or why we use water (not cooking oil) to cook boiled egg. The vaporization temperature of the liquid (at a given pressure) is fixed, i.e. for water it's 100C at 1atm, while for oil it's around 250C (depending on the oil) - it regulates the temperature such that it is at a maximum nowhere near the flame/engine temperature (or in the case of the phone/PC the processor temperature). Using water keeps the egg at 100C, or the car radiator at relatively near 100C (since the pressure in the radiator increases, so does the max temperature though only slightly but still far from the combustion temperature of the fuel). In effect, by using a (proprietary) liquid with relatively similar thermodynamic characteristics, this chamber of liquid limits the temperature of the CPU by providing a cold sink for the heat to escape to, using the heat as energy to vaporize the liquid in the chamber instead of simply heating the CPU up.