Yep, if there's air in the system, the water won't be circulating properly. If a hot patch of water flows past the CTS it'll knock the fans on (or is it the rad switch that controls the fans on the turbo... I can never remember).
Bleeding it is very easy... fill it up, leave the cap off, start engine and the air should find its way to the top on its own. Give it a few revs (I usually hold the revs around 3000rpm) for a minute to force the air through.
If the water in the expansion tank goes down, top it up. The middle ridge on the tank is where it should be when cold.