Finally did the EC + BIOS upgrade – happy to report that both went without a hitch. 
Now both my Odyssey-based systems are running the same BIOS: (I have one J4105 + the new J4125)
dmesg -T|egrep ‘Celeron|SD-BS’
[Fri May 7 20:51:11 2021] DMI: Default string ODYSSEY-X86J4125/ODYSSEY-X86J41X5, BIOS SD-BS-CJ41G-300-101-F 04/08/2021
[Fri May 7 20:51:12 2021] smpboot: CPU0: Intel® Celeron® J4105 CPU @ 1.50GHz (family: 0x6, model: 0x7a, stepping: 0x1)
[Tue May 4 20:25:40 2021] DMI: Default string ODYSSEY-X86J4125/ODYSSEY-X86J41X5, BIOS SD-BS-CJ41G-300-101-F 04/09/2021
[Tue May 4 20:25:41 2021] smpboot: CPU0: Intel® Celeron® J4125 CPU @ 2.00GHz (family: 0x6, model: 0x7a, stepping: 0x8)
Initially thought the EC hadn’t changed, as I could not identify its version in the BIOS (completely different from the filename). But I can confirm that the fan behaves correctly now, in that “Always On” does actually mean what it says, and Normal has the fan running (in a low-rpm, so it is very silent, basically inaudible unless you put your ear next to it. Good stuff.)
For the upgrade I did a complete power drain for both EC & BIOS. EC went very fast. The BIOS took longer than expected (before the reboot). After it finished I turned it off, unplugged the DC and let the voltage drain. I did not remove the CMOS battery connector for either EC or BIOS.
The subsequent bootup took around 3-4 minutes, with 2 reboots in between.
btw. – it took some time to realize that the EFI System Shell for some reason did not support an exfat filesystem, which was a little strange (don’t usually have older FAT-based filesystems lying around, so a stick had to be formatted for it). For the record - many EFI Shells also support Linux filesystems now (ext4/ext3) as well, and it would be nice if Seeed supported this also, considering how many users buy it in order to run a Linux variant or pfSense etc.
Also did some testing with memtest86+ and MPrime (Prime95 for the W*n crowd) using its torture test (#1, small FFTs). It’s the most CPU and heat-intensive app that I know of.
Where the previous BIOS managed to get it up to 95C (203F) – where it had to be manually terminated for safety reasons, the new BIOS (in ‘Normal’ setting) hovers around 71-73C (157-163F); all while running completely silent.
So for my part at least the issue is resolved – kudos to the Seeed techs for fixing the fan issue. It would as I mentioned be nice if the EFI shell supported more filesystems, so feel free to take that as a suggestion for a future BIOS version.