Journey Man --
I was being a little cute -- by "make its own wind" in this context, I just meant that the fan would in fact fill the sail and cause the boat to move. But once the boat started moving, the fan would be accelerating air that was already moving aft relative to the sail. So I think the apparent wind velocity at the sail would increase as the boat started moving faster.
As you point out, of course, the additional thrust as boat velocity increases would be offset by the increased drag through the water, as well as by the fact that the apparent wind direction would move further toward the bow of the boat.
Needless to say, all this applies only if the fan is facing somewhat aft to begin with -- and it might well be more efficient in the end to lower the sail and just have a fan boat.