Risk? None really; the power supply exhausts warm air.
Several reasons a system fan wouldn't show up in BIOS
1. Not a fan installed
2. Fan not connected to the motherboard header
3. Fan is connected to the motherboard but has only 2 wires.
A fan could be installed and working using a 4 pin connection to the power supply, but any fan not connected to a motherboard header won't be seen by the system.