If your fan is hooked up to a power supply and the fan starts, then your problem is before the actual fan.
What test light did you use? Keep in mind that depending on how you tested it, you may not have proven anything. Example: if you check voltage across on open wire, a multi-meter (or your test light possibly) will read source voltage and many misinterpret this as a "good" reading. This is because your meter is actually completing the open circuit and source voltage is choosing the path of least resistance by traveling through your meter (or light).
If you have the patience I would take the mutli-meter and measure resistance between the wires starting from the fan input. A straight wire should measure less than one ohm. Your results may vary slightly but you'll know when you have an open (the meter will read O.L. or several thousand ohms). I'm not familiar with the design of the electrical system but if you measure across electronics such as a rectifier you'll probably read a couple hundred ohms. Your ignition should be turned OFF!!! and I would pull the main fuse of the bike as well with fuse pullers just to be on the safe side.
Before you attempt any of this though I would put your thermostat in boiling water to make sure it's not your problem