When I go to add fan bones to the TSM rig I find that they're floating in space. But for some reason the "Attached to Parent" option isn't present for these bones. I first select the bone I want to parent it, but that doesn't help.

Only one bone can be attached to a parent. For example if the forearm bone is attached to the upper arm bone (bicep) then an elbow fan bone cannot be attached also.

If you want a fan bone to move with the bones it is ... uh ... fanning, make it a child of the bone that is highest in the heirarchy. For example: Say you have an arm with a bicep bone and a forearm bone, and you want a fan bone at the elbow. Make the fan bone a child of the bicep, so it and the forearm bone are siblings under the bicep. Now the fan bone will move with the bicep. You don't make it a child of the forearm bone because then you cannot constrain it to Orient Like (50%) the forearm.

"attach to parent" is about whether pulling on a bone will drag along its parent.

Fan bones don't need it. They merely need to be children of the bone you want them to move with. A fanbone at an elbow would be a child of an upper arm (or bicep) bone, for example.

You make bones children of other bones in the heirarchy shown in the PWS.