Not familiar with the PWM controller for fans, but 2 observations:
1. LED's used for lights actually will act as diodes, or one way valves for dc circuits, since they are light emitting diodes. So, they are polarity sensitive, somebody commented above about that.
2. According to my old school lessons, PWM circuits need to be on an oscilloscope to see the 'on-off' cycle, and the voltage 'on' is always the full amount, or 12v in this case. That's my experience with those things, that you can't check them for function with a voltmeter.
Just adding to the discussion with a couple of things to maybe consider.