Hello and welcome to the forums.
Check CMOS setup to see if there is a setting to turn off fan below a certain temperature. I know that some socket 754/929/AM2 boards have "Smart Fan" settings under the system monitoring part of CMOS setup that allows you to choose temperatures above where fan spins full speed, where fan spins slower and temperatures where fan stops (if CPU is cooler than that). Some may have "Smart Fan" as an option but won't give you any settings to change - just try disabling it.
If your motherboard doesn't have such a setting then perhaps the header is indeed dead. It isn't as common these days, but I can recall BITD with Pentium III boards, many people were killing headers by hooking up a too-powerful fan to it, like those 6800RPM Delta fans.