Same issue on my MSI machine, the kernel is not interfacing fan control hardware likely due to the proprietary nature, of my MSI notebook.
The only solution for me, was to enter the BIOS, use the secret unlock command, and I found the section to set the fan curves there. <<<--- Only for experienced BIOS users, who know what they are doing.
I actually figured out how to do it in the BIOS (thank you and @StarTreker for suggesting delving more into it). You just need to enter the advanced BIOS and tweak things there.
So for the Lenovo LOQ R3CN39WW BIOS, you have to:
1- enter the BIOS by pressing F2 repeatedly on boot
2- go into more settings when you reach the BIOS main screen
3- press Fn, press R and release it, press N and release it, release Fn
4- press F10 to save and enter to confirm
5- go into BIOS again by pressing F2 repeatedly on boot
6- go into more settings
7- go into Advanced Settings > Thermal Configuration > Platform Thermal Configuration
8- set active tip points (temperature at which the fans turn on and fan power at which they turn)
Now I bet there is way more settings one can tweak for fan control but I played it safe and adjusted only the settings that make sense to me. When I boot Zorin I still have no fan data coming in (mainly RPM), only sensor temperature which is fine. I won't be able to control the fans from within the OS but I can live with that.
I think -but might be wrong- that the Intel Dynamic Tuning Technology has to do with the blocking of fan data and fan control. There are settings which allow you to disable that service within the Thermal Configuration settings but I don't want to try (I chickened).
I have AMD and don't get Fan Data, too. I would guess it is a Compatibility Thing with the specific Hardware. But good that You can handle it now over the BIOS.
You are very welcome! Sounds like the secret unlock command process for Lenovo's, are more convoluted though, but you can still do it. On an MSI machine, you have to do the secret unlock command, on every launch into the BIOS, but you don't have to save then leave the BIOS, and come back. With MSI, its ready to go after code.