I ran my bike in stop 'n go traffic about a month ago on a very hot day and my coolant temp light came on pretty early in my ride. I was freaking out. Once I got on the highway, the light went off and I got home okay. I rode about 30km with the light on and another 70km on the highway.
I checked my coolant levels and hoses and it looked fine. It turned out to be a blown fuse for the fan. Of course, I discovered this after stressing about the coolant temp for about an hour.
The fan will not come on if there is sufficient air hitting the rad. At highway speeds, the fan should probably not come on, unless it is 35-40 celsius out. (104F) In city riding, especially during rush hour, your fan will cycle quite a bit.
As far as your header blowing, I can't help you there. I suppose if you ride it long enough under intense pressure and heat, it might pop. My bike used to leak fluid out of the cap until I swapped it for a new one. It seemed to have a crappy seal, even with that little set screw.
Either way, your ride is under warranty so the shop should find the issue and take care of it.