Maybe a couple sources of confusion here.
1. Many fan headers on mobos now come with two options in their configuration related to HOW they alter fan speeds. The can be set to PWM Mode for the new 4-pin fans, or to Voltage Control Mode (aka DC Mode) necessary for 3-pin fans. Maybe that's what you read about "you have to set the voltage for the header", and this is NOT something special for the CPU_OPT header.
2. In virtually all cases, the CPU_OPT header will do exactly the same thing as the CPU_FAN header, except that you can set the Mode (above) differently for these two. But many mobos also have an AIO_PUMP header involved in CPU cooling if you have an AIO liquid-cooled system. Those headers are different because they do NOT do any...