Here's the thing - I have a Zalman fan which does a good job at cooling my overclocked Athlon 64 3800+. It came with an external fan controller which I used to manually set the speed. My PC is custom-built and drivers for mobo (ECS RD480-A939) do not manage the fan speed automatically. I wonder if they are supposed to (like on laptops). Does your desktop PC fan is controlled automatically by system?
And one more thing - SpeedFan does not work for me since it has some conflicts with my mobo (after, like, 15 to 30 minutes it starts to consume 100% of CPU, the only solution is manual shutdown).
CPU cooler fans are usually controlled (throttled) by the motherboard. I would hate it if I had to manage the speed of my CPU fan on the go.
There is no way for the motherboard to manage the fan speed if it is connected through an external fan controller. If the CPU fan has a 4-pin connector, you could try connecting it directly to the motherboard.