Yes the fan should start up straight away so check the 12v supply and wires to the fan. The recommendation of many is to not go beyond 24v so that is fine. Can you supply the details of your steppers and how you have them wired as this will help in diagnosis. List the connections you have made and any config settings in Mach3 would help also. I am afraid i use EMC2 so can not run through the config of Mach3 with you but i am sure somebody else here can validate that for you