Yes I have exactly the SAME motherboard and yes you are right it seems ridiculous to have the shutdown temperature HIGHER than the MAXIMUM that the CPU can take!
My CPU is an AMD Athlon XP 3000+ and I think I am right in saying that the maximum it can take is only 85C?
What I have done in the BIOS is make sure that the 'system fan fail warning' is enabled.
This means that if you heard the warning noise than at least you would know that something was wrong and you could proceed to shut down the PC.
The only downside is if you left your PC on and went out somewhere and you weren't there to hear the warning the chances are that when you got back your CPU would just be a pile of melted silicon!
The one thing I do like with the Gigabyte motherboard I have is the Dual BIOS feature pity the CPU shutdown feature wasn't as good!