Did you happen by any slim chance to follow the directions when hooking up the fan and pump? Because if you did, that would explain things.
The directions state pump to cpu_fan header, and fan to sys_fan header. Unfortunately, the sys_fan header responds to a temp sensor on the motherboard that registers case temps. So what you end up with is the fan speed trying to cool a 40°C case, with the cpu hitting 66°C and not changing anything with loads.
There's 2 ways to change that, depending on your bios. Some bios allow different addressing for the headers, so you can change sys_fan to respond to cpu temps instead. If you don't have that option, simply swap the pump to sys_fan and put the fan on cpu_fan, just make sure in bios to set the sys_fan header to 100% duty cycle permanently.
This way the fan will actually spin up to necessary speeds with increasing loads.