Chip fan doesn't run on Gigabyte GA-7N400 Pro2 motherboard

I've just built a new system with a Gigabyte GA-7N400Pro2 motherboard. The
motherboard has a chip fan (not the CPU Heatsink/Fan), but this doesn't seem
to run at all (at least not when I've been looking at it). For anyone with
this motherboard, I am talking about the fan which has "Gigabyte 8X AGP"
written on it and connects to the NB_FAN connector on the motherboard. The
fan was connected when I bought the motherboard, so I believe it is
connected properly.

Anyone have any idea why this isn't working? Is it possible that it's simply
a BIOS option somewhere, where it only runs if needed to?
What danger is there in running the PC without this fan? Would I be able to
easily replace this fan, by either going back to Gigabyte or by buying
another fan the same size?

Any help would be much appreciated.

Regards
Luke