I got ZALMAN 9700 LED 110mm 2 Ball CPU Cooler http://www.newegg.com/product/product.asp?item=N82E1683...
and it has a manual switch (knob) on the outside of PC case to regulate speed, you plug the fan into it, than it into the Mobo - when I have that plugged in - fan does not turn at all (blue led does not come on)...!?
When I disconnect that piece, and plug direct into Mobo - it works, like I said my E4300 (not OCed yet, will be shooting for 3Ghz),so at stock speed at 32 C (which I think it's good?). Also the Sensors View reports (and BIOS I think), fan speed at 800 RPM - can that be right??? It is REALLY quiet too (which is good), just wondering if I got a bad part and am running at lowest speed all the time?
Yes you are doing everything fine.
Your motherboard may have thermal control of your CPU fan set.
You can disable that option in the Bios.
If the speed control knob still does not work, I would RMA the Zalman.