The fact that it only happens when Windows loads suggests that it's a software issue rather than hardware but I'm guessing. I tried connecting a single fan for a few seconds to each header but the behaviour is identical. This is puzzling as I assumed that both CPU fan headers were simple parallel connections so would expect them to behave the same. On the off chance, I connected the splitter cable to CPU_FAN_OPT header and the fans seem to run 'normally'. Both fans are 4-pin PWM fans as one would expect but prior to fitting this cooler, I was using a cheap, after-market 3-pin (non-PWM) fan and heat sink which would, of course, run at 100%. The fans run slow and quiet while in the BIOS (I've been searching around for possible relevant config settings but can't find any) but the instant the Windows desktop appears, they run up to full speed. This is with Windows only and no other applications running. As soon as Windows 7 loads, the fans crank all the way up to 100% and stay there. I have just fitted a dual-fan water cooler to my rig with both fans connected to the CPU_FAN header via a 'Y' splitter. I have posted this question on the dedicated Gigabyte hardware forum but thought I'd try here too in case anyone has encountered a similar issue.

Gigabyte motherboard fan control