Which one? 9020 MiniTower, 9020 Small Form, 9020 UltraSmall Form, or 9020M or 9020 All-in-One?
Don't know which docs you read, but all the 9020 manuals, and the 9020M and 9020 All-in-One manuals show a CPU fan, either listed separately or shown under the instructions to remove the heat sink.
Dell CPU fans have a sensor in them that BIOS has to read. If the sensor fails, you'd get that fan failure message. The fan will have to be replaced with another Dell OEM fan. Non-Dell fans won't have that sensor and will cause the same error message.