A diff oil cooler was often fitted to the rear of the cars, but I don't recall seeing one fitted to the fuel tank of any of the three Volvo Dealer Team cars when they ran in 1986.
@242GT is more familiar with the 4th 240T in OZ, Richard Prince's former car, and may know if he fitted one.
AFAIK the DTM and ETC cars did have them in 1986.
Björn Ohlson's site - https://240grupp-a.se/ - is the authoritative site for information on the 240T Group A and DTM cars.
If you look at the 'Driveline' section of Björn's site, you'll see pics of the diff cooler setup.