Well you don't have a CPU fan now! that is why bios is giving an error. Many mobos will see it as you have not connected your Air cooled Heat sinks fan. But since you have water cooled, you can either disable it as you did, or connect any other fan to it so bios would not be "confused"
Some pumps have a wire to read the rotation speed, you will have to check if your pump has this, if so you can connect it to the CPU fan header.
Can you do some google-fu and see how the temps are for watercooled Phenom II 965s?
CPU370 is just a tiny bit better in temps than a full nickel EK supreme HF. Also your loop will be a tad bit "warmer" because of the GPU cooling as well,(Compared to a cpu only loop - but not by much)
How hot is your room temp?
When I had my Q6600 overclocked to 3.24 and HD6950(unlocked and Overclocked), it was about 3C higher than room temp for the CPU and 7C higher than room temp for the GPU (room temp around 20C)
You should not compare 2 loops directly as many aspects are different, but you can get the rough idea.