Is the fan spinning at proper speed?
I had it before that a board would complain when the fan RPM are below a certain threshold.
Check the speed yours does and if there is any setting for a warning RPM in the BIOS/UEFI
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 spins so slowly by default that the motherboard thinks the fan is failing. If that's the case, and you cannot adjust the alert level, you might just have to make the fan spin faster to make the alert go away.
(For example, my Supermicro motherboard had its default critical low RPM level set above the RPMs of my Noctua fans. I kept receiving alerts that my fan was failing because its RPMs were below the critical low level. Luckily, I was able to use a command line tool to change the critical low RPM level for alert/warning purposes. But my motherboard is a server-level motherboard, so it lets me configure obscure things like that. If your motherboard doesn't let you change the alert/warning thresholds, then you'll just have to run the fans faster until they don't cause an alert.)