I have sorted the power on "Fan Failure - press F1 to continue..." problem. A bit of a sledgehammer solution, not a *nice* solution.
I had a look in dells forums for information on the GX110, and came up with this post which gives a workaround for the BIOS warning problem.
It seems that the third wire just gives feedback about the state of the fan where 12v = fan turning, and 0v = fan stopped. The solution is just to connect the 12v red cable directly to the pin where the which cable was.