If you upgrade to the latest bios version, you won't have that problem. Bios wz and above give the following upgrade "Adds an option to enable/disable the CPU protection (fan1 error checking) function and changes the default setting to disabled. "
Of course, this comes with some luggage that you may not want, such as some new bugs.
Here is the option I am taking. If you go with the four pin fan hooked to the power supply, buy a three pin case fan. I bought a sunon, rpm sensing one, along with a three pin extension, and ran it to the m/b fan header.