Your switched outlet should have the side connectors clipped out, and should have a black wire from the source going into the top and bottom outlets on the "black" side, and a black wire going to the switch coming out of the "white" side and a white wire going out of the "white" side on the unswitched (always hot) outlet. Without the lamp, even though the switch is on, no juice flows to the switch because there is no connection to complete the circuit. Because you connected the ceiling fan to the switch, (the switch has a black wire on one terminal (from the outlet) and a white wire going back to "common") there is no current flowing to the fan without the light plugged into the outlet because there is no way for the electrons to get from one side of the outlet to the other without a lamp or something else plugged into it.
Now here's the fun part.
You used 12/2 to wire the ceiling fan. This is bad because 12/2 signifies a 20 amp circuit, and 10 years from now, when you are nowhere in sight, someone else is going to try to tap a 20 amp appliance onto this circuit. For a ceiling fan, and given that you were tapping a 15 amp lighting circuit, you should have used 14/2, which is less expensive and easier to work with to boot.
Your ceiling fan is operating in an interesting way because all the juice you are powering it with has to go through an extremely unhappy lightbulb filament. Because there are only so many electrons that can travel throught the filament at a time, there aren't enough to go around to all the places they are needed once they get to the other side. You are going to burn up your ceiling fan motors and replace a lot of light bulbs, assuming you don't have to make a claim on your homeowner's insurance first for burning the house down.
The fix: (You were hoping for this, right?)
You need to rewire your outlet, and I wish I could draw this for you so bear with me.
Picture the current as having to enter the circuit on the black wire, and leave it on the white one. Right now, the white wire that was going to your wall switch is part of the bundle of white wires in the outlet jbox that are all wire nutted together. Ideally, you want to move the outlet to the other side of the switch in your circuit, but you can't because you don't have 14/3 already in the wall (not enough wires).
So, your option is to replace the outlet altogether with a regular non switched outlet. Make sure you buy an outlet with screw terminals so you can make a positive long term connection. The kind with the push in backs are cheap and don't hold up well over time. The difference is only a few dimes.