What CPU do you have and you're sure it was seated in the socket correctly?
The CPU power connector doesn't affect the fan. There's a CPU fan connector on your motherboard that the fan needs to connect to turn on. It's just a little 4-pin connector that you have to look for.
Also, is your monitor set to HDMI source and not something like DisplayPort?
Here's an image I could find for the CPU fan connector. Depending on what CPU cooler you have, there should just be a single connector rather than the 2 displayed.