Fan run continuously regardless of setting. (Auto/On). It does switch to high speed when AC comes in. Furnace and Compressor both come on and off as expected. I have been through the setup 3 times, same every time.
Best thing you can do is post a picture of your thermostat wiring, and a picture of that same wiring on you furnace control board. Then maybe we can get one of our furnace control expert users like @speadie to take a look at them for anything unusual.
As a new user you may not be able to post a picture right away, but I have asked the Mods to up your level.