MSI P35 Neo2-FR: Question

[Pinata]

I recently buit a new computer using the above motherboard. I flashed the bios to 1.6 (the latest version), and since have benn getting a error message saying: "Adapter1: No hard disk detected" every time I boot. However, my computer continues to boot normally after that. Am I doing something wrong?

Also, am I better off connecting the case fans to the motherboard, or directly to the power supply?

Thanks in advance for any help!