Have you connected a case speaker to the motherboard? If not, then no beeps.
For fans, check if a fan control is available in BIOS and if enabled.
I did connect a case speaker, although I must admit I initially put it in the wrong way around. Could this have broken it? And is it normal for it to go directly to the setup utility? I don't think it is actually booting up and when I try to exit the setup it repeats itself and goes back to it