How the temp sensor works.
The temperature sensor in a fan such as yours operate as a thermostat. As such there is a scheme in place to open and close a switch based upon the temperature that is sensed. There are various schemes and mechanisms used, some of them mechanical and others electrical or electronic. The most common scheme used is a metal strip or spring that is made of two layers of metal that have differing coefficients of thermal expansion. When the bi-metal strip is exposed to a particular temperature the shape will be static. As the temperature changes the two metals expand or contract at different rates and cause the metal strip to bend one way or the other. The metal strip can be the actual part of a switch with the bi-metal strip being a contact that opens and closes the power circuit directly as it moves. There are other designs where the bi-metal strip may be mechanically connected to a linkage that opens and closes the switching contacts. The knob that adjusts the temperature setting in a switch like this will either move the metal strip mounting so that it has to move more or less to close/open the switch OR it will simply apply pressure on the metal strip such that it has to bend harder or less hard to achieve the switch closure.
Troubleshooting the problem.
You already said that you checked the power source at the fan so that you can skip that item on my list of items to look for.
Here are some things to try >>
Check that the power feed is making it directly to the wires of the fan assembly?
Check to see if there is a separate switch mounted on the fan assembly that needs to be turned on.
There may be a built-in overload circuit breaker on the fan assembly with the pop out type button. Check to see if such thing needs resetting.
Recheck the installation from the manufacturer data sheet to see if the power wiring is connected properly.