This could be a problem with the power switch. The switch should give a connection when pressed then go open circuit when released but if the connection is maintained, either by a sticking switch or incorrect wiring, then the symptom you have described is exactly what you get. Double check your wiring to the front panel connector block and make sure the switch isn't sticking.
Could be, but the more likely explanation is that the motherboard has a built in fan speed controller, which (like most) will come on full whack when turned on initially, read the temp, then adjust the fan speed accordingly. The type of technology is more associated with sff pc's, but isn't unknown in ATX systems.