Several misunderstandings there leading to errors.
First, note that "RGB Fans" really each are TWO devices in one unit - a fan MOTOR and some LIGHTS in the frame - and they each have their own separate cables that go to different mobo headers.
Next, note that there are TWO different designs of lights now dominant. The plain RGB system uses a 4-pin connector that supplies a common +12 VDC power supply line and three separate Ground lines - one for each of the three LED colours in the lights strip or fan frame. The Controller on the mobo manipulates the three Ground lines to generate thousands of possible colours that change over time, but at any one moment the entire light strip is ONE colour. The more complex Addressable RGB (ADDR RGB, ARGB, or Digital RGB) system, uses a 3-pin connector (looks like the 4-pin one, but with one pin missing (hole blocked off)) that supplies common +5 VDC and Ground lines plus a digital Control Line. Along the strip all LED's are organized into NODES, with each node containing one Control Chip and one :ED each of the three basic colours. All of the Control Chips listen to the Control Line which carries data packets of instructions with unique addresses, and each chip responds only to packets for its address, and does what it is told for its three LED's only. Thus at any one moment, every Node along the strip can be a different colour, and more complex displays are possible including rainbows, stationary or moving. Because of the major differences in voltage supply and display control methods, these two systems are INcompatible and can NOT be mixed in one circuit. You MUST plug 4-pin plain RGB lighting units (including fans with 4-pin lighting cables) into ONLY a mobo 4-pin plain RGB header. (MSI calls these JRGB.) Similarly, 3-pin lighting cables can ONLY be plugged into mobo 3-pin ARGB headers. (MSI calls these JRAINBOW.) OP, your mobo has two of EACH of these two header types.
From your list of components, the Gamerstorm Deepcool Captain 240PRO V2 CPU cooling system comes with ARGB lighting types in its two rad fans, and similar lighting in the pump unit. (PLEASE CHECK: you quoted Captain 240RGB v2, but I could not find that model. Do you really have the ...240PRO V2 model as I suspect, with ARGB lights?) Assuming that is correct, the lighting cables from all three components can ONLY be connected to a JRAINBOW header of your mobo. And then you say you have added to the front of your case three "RGB RF120" fans by Deepcool. ALL of the model RF120 fans from Deepcool say they are for the OTHER lighting system - the plain RGB with FOUR-pin lighting cables. These can ONLY be connected to the JRGB header of your mobo. You can NOT connect all those lighting units together in one circuit!!
I'm also a bit confused. It is not clear which case you have - there are many Rosewill cases for mid-tower sizes. And some (maybe all??) of them come with pre-installed front fans. So, did your case have fans? Did you remove them and replace then with the three Deepcool RF120's? If you did, where are they now. This is all part of the fan count. You say you have six to connect. Then you list three RF120's in the front, two on the rad for the CPU cooling system and the last one????
The rad fans normally should not be included in the count of CASE ventilation fans because they are to be connected to different mobo fan headers. The Captain 240PRO V2 system should be connected this way. Plug the PUMP unit's 3-hole female connector into the mobo PUMP_FAN1 header. Then using the fan MOTOR Splitter box supplied with that system, connect both of the rad fans to the CPU_FAN1 header. Ensure that both of those headers are configured in BIOS Setup (see mobo manual p. 62) to use PWM Mode (upper left of the graph pane). With these settings, the pump will run full speed all the time and its speed signal will be monitored for possible pump failure. The two rad fans will have their speeds controlled automatically according to the temperature measured inside the CPU chip by a sensor. That system also comes with an ARGB LIGHTING Splitter. You connect the two rad fans to ports 1 and 2 of that, and the PUMP lighting cable to an end port. The cable from this Splitter goes to one of your JRAINBOW headers on the mobo so MSI Mystic Light can power and control those ARGB lights.
CASE Ventilation fans - the three Deepcool RF120's that I believe have FOUR-hole (female) lighting cable connectors and separate FOUR-hole (female) FAN MOTOR cable connectors - should be connected using a fan motor Splitter to one of the four SYS_FAN headers on the mobo (p. 34). IF you have other case fans, use another Splitter to connect them to another SYS_FAN header. In BIOS Setup (p. 62 again) go to the screens for each of those SYS_FAN headers you have used. For each, start below the graph to the right, and click on the "Set All Default". Then go to upper left. For any header with 4-pin fans, set it to PWM; if you have 3-pin fans connected to a header, set that one to DC. Then just below that for the Temperature Source, set this to motherboard, not CPU. When all fan headers have been configured, use Esc back to the Main Menu, then use F10 to call up a screen and choose the Save Changes and Exit option.
Assuming that the case fans contain FOUR-pin plain RGB ligthing units, use a 4-pin RGB Splitter cable to connect them to one of the mobo JRGB headers. Again, MSI Mystic Light will power and control them.
I suspect the small disaster you had first time around is becasue you connected ALL lighting cables together to the 4-pin JRGB header, and that is WRONG for the 3-pin lighting units. I am not sure how you could do that - it is supposed to be impossible to plug 3-pin female lighting connectors into 4-pin male outputs. I hope you did not try to connect the lighting cables to mobo FAN MOTOR headers. Anyway, you have the fan motors working now. If you connect the LIGHTS as above, they should work (unless your first connections damaged some of the 3-pin systems).