The fan kicks in automatically and will go off when you put the bike in gear. Best guess is Yamaha designed that way to ensure that the fan gets spun up regularly even though the motor might not reach temps high enough to need it all that often.Headers will get hot - and fast. The two aren't connected, I'm sure.
I contacted Yamaha about this, they said that the fan sins up to prevent it being distorted from the heat being given off from the downpipes.