Well I assume that you're using the 3-pin plug that plugs into the motherboard, right? It may be that the motherboard controls the fans that are plugged into it. It does that for the CPU fan, and it CAN do it for the other fans too, depending on the motherboard you have.
If the fan comes with a molex converter (the 4-pin plug that you power your optical drives with), try using that and see if the fan spins faster/slower w/ your settings.
Also, if you have certain power supplies they sometimes have a "Fan Only" molex connector, which lets the PSU control fans.
The fan's controls just limit the power it uses. But if an outside force (motherboard in this case) is also limiting the power the fan can use, then your fan will probably not spin at its advertised rates, which assume that its being given all the power it wants.
OR maybe the fan's broken... heh.