Do all codes set off an SES light?

I've had an AUX Fan failure code for a couple months without an SES light. Recently, after an AFE CAI & DINAN MASS air flow chamber install I got ant SES light.

I had the codes ran to reveal lean bank 1 & 2 as well as AUX fan. I did the install in stages as the CAI came in the mail first, I received no SES light after that install. It's when the Mass air flow chamber was added that the SES light came on.

When the codes were ran I had the shop check to see that my install job was done correctly. They couldn't find any problem. They also checked to see that I was getting enough pressure as lean bank 1 & 2 means that unmonitored air is getting into the engine (from what I've been told). According to them they found no pressure problems. Said I shouldn't worry about the SES light as it's caused by the additional air from the mods. This didn't see right, as the MAF should be registering the air accordingly.

Before I take off the mass air chamber, I wanted to know if the AUX fan could cause the SES light to come on too? As it's not too particularly hot now and I don't run the a/c that often I wanted to wait before I had the fan fixed. Any suggestions on that?

Thanks for the help.

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2005 545i Sports/Prem Package
(Retired) 2003 X5 4.4i-sport package, cold weather package, OEM trailer hitch, 20' replica metallic pewter 215's, X-pipe, Navi w/ custom splash (MUFC logo), cross drilled brembo rotors with Akebono ceremic pads.