Nope. But for more information you can visit there website. You can even put an aftermarket fan on it. Just make sure if you have to send it back you put ther original fan on it of course.
But it's pretty much a damn near bullet proof plan. Only thing thats a bit ambiguous (which has been talked about here) is that if you OC your chip and you burn it out is it physical damage? I'm going to say no, but I could be completely wrong.
Maybe contact EVGA for a better answer. I'm sure a quick call or email will answer this question.
also i was wondering what a good program is to overclock the 8800 ultra, and a good program to find the temperature out.