I have not seen this issue but based on what you state about the fan coming on that circuit appears to be working maybe coming on at too high of a temp but usually either it works or it doesn't when it comes to the KFX.
I know that if you got a bunch of mud or anything blocking the front of the radiator, this would limit airflow and could cause overheating even if the fan is running.
I am concerned that you say there is no boil over yet by the end of the race you are almost out of coolant, if that is the case I would be very worried. However if you were loosing liquids via a water jacket failure I would think it would be obvious either in an external leak which should be visible if you stop and look for it after you warm it up, or in a hard running white smoke producing engine, if it was getting dumped in the cylinder. I mean if you put it in at the beginning and it is gone at the end it is going somewhere. Is the oil milky colored or semi-clear/dark like usual?
If you have a laser temp reader you could use it to see exactly what the temp is when the overheat light comes on. Or you could look at an in-line coolant temp gauge like I have or since some don't like the in-line gauge they make some temperature strips that are adhesive and can be attached to your radiator to give you a rough visual reading.
Whatever you do, do not continue to run it in this state, heat is not kind to these engines and you will be spending some serious cheese if you keep driving it in these conditions.
There are some pointers here and on the other boards to test the temperature switch which engages the fan. The other items can be checked visually.
A bad map could also be adding to the problem as a lean condition could raise the heat levels in the cylinder.
You can look here to get a rough gauge of what the plug should look like in various operating conditions.
http://www.dansmc.com/spark_plugs/spark_plugs_catalog.html
Please keep us in the loop as to what the problem is.