Make sure the CPU fan is plugged into a header labeled "CPU fan". If the CPU fan is plugged into another header, then it will spin, but the BIOS will think it is a case fan, and it will think you're trying to run a CPU without a fan.
Next, go into the BIOS and see if changing your fan settings make any difference. Your motherboard has a general manual but also a BIOS manual, so check your BIOS manual
here, named "PRIME TUF GAMING B550 Series BIOS EM WEB EN."
On pages 10 and 11, it discusses adjusting the fan RPMs. I don't see a setting for critical alert levels, but you can at least adjust the fan curve with relation to temperatures. See if adjusting the fan curve affects the warning you receive. It's possible that your fan...