The dash may set the fan speed, but it doesn't maintain control of it. The order of control, as I understand it, is that the currently running software has control, but the BIOS takes over when that software is not running. So, if you leave your BIOS at default and set the fan speed in your dash, the fan will slow back down to normal as soon as the dash isn't running.
Try it sometime. Use XBTool to set the fan speed setting in your BIOS to 5x normal, so you can hear it loud and clear. Then use your dash's config to turn the fan back down to normal. If your setup's anyting like mine, your fan will speed back up to 5x after the dash unloads and the game starts. This is true with my setup, using a Xenium with the X2.4981 BIOS and UnleashX.
So, in short, if you want to control the fan speed you need to modify your BIOS. This is the sort of feature I'd expect to see eventually in the X3, with their dynamic BIOS configs and such.