Learn French: C'est le futur que le fan préfère, et c'est ce à quoi il pense. - It is the future that the fan prefers, and it is what he thinks about.

The verb penser (to think) is followed by the preposition à when you mean to think about something (penser à quelque chose). When you want to refer back to an unnamed thing you are thinking about, you must include that preposition. This combines ce, à, and quoi to mean literally 'that to which'.

Why isn't it ce qu'il pense à, matching the English 'what he thinks about'?

French strictly forbids leaving a preposition dangling at the end of a clause. While English allows 'what he thinks about', French forces the preposition to move before the relative pronoun, making it ce à quoi il pense.

Why does the first half use que in que le fan préfère instead of qui?

We use que because it acts as the direct object of the verb préfère (the fan prefers the future). You would only use qui if the relative pronoun was the subject doing the action.

Is fan used exactly like in English here?

Yes, French borrowed the word fan to talk about enthusiastic supporters or admirers. It functions as a normal French noun and is usually masculine (le fan) unless you are specifically talking about a female fan (la fan).