Where was the aux fan fuse located that you checked? There is a batch of 2003 model years that had this fuse moved to where it is on the 2004+ models, but the wiring diagrams produced by BMW showed it in the old location. This had me chasing my tail for a long time. I know there's been at least one other 2003 owner who found this to be true.
Post 9-10 is where the info is:
https://xoutpost.com/bmw-sav-forums/...continues.html