There is a lot more to engine cooling when driving down the road than just the cooling fan. When you are above 35-40 mph, the airflow from speed , is more than the electeic fan will ever pull. Plus the airflow through the engine bay that gives some air cooling assitto engine. Plus, by the time the electric fan kicks on, the PCM is already pulling timing due to coolant temp.
Now, I'm not trying to justify the HP claims by cai manufacturers. I've already said they skew the numbers. But you never want to dyno a vehicle, with the hood closed, unless you are in a wind tunnel that can create the same wind speed as driving down the road.