While you already found the answer yourself, the explanation is most likely that the BIOS doesn't allow you to boot with incorrect data from the fan.
Depending on which side of the connector you used (usually they have find to only allow it so that the right pin would not get connected), you are missing either of the end-pins. The first there are for power, so if you have one of those off the fan would/should never run, the last one is speed control, and that is the one which would usually not be connected in such a case.
However since it doesn't go to POST really, I suspect you connected it so that one of the power pins wasn't connected. Hence no CPU fan at all, and weird power flow (since you put the full-speed power on the speed-control pin), and hence system refuses to go with it.
You could either try flipping the connector (if the fins allow that and it works at full speed then, I had some which would not turn at all if only using 3 pins), or get an adapter. If you go with the first, ideally use speedfan or a similar application to check how the temperaturs and fanspeeds are to make sure everything works as it should.