Tell us the maker and exact model number of your mobo so we can give good advice. But here's some general info to help understand.
The Cooler Master MasterLiquid ML120 RGB system is intended to operate this way. The PUMP unit should always run full speed and thus requires its power be supplied as the full 12 VDC constantly. It should NOT have its speed controlled. However, the FANS on the radiator ARE speed controlled, and that is how this system controls CPU temperature - solely by changing rad FAN speeds. Ideally this means you need two fan headers somehow associated with the CPU. ONE header needs to feed the pump with constant power AND do the important secondary function of monitoring the speed signal coming back from the pump for FAILURE. In an AIO system like this, failure of the PUMP is more important than failure of one rad fan. Most mobos do this failure detection job well on the CPU_FAN header, so that's the best place to plug in the pump. Now, there's a little quirk of the new 4-pin PWM fan system design that many AIO pumps use. If you plug a 3-pin fan into a header using that new PWM Mode to control its fan's speed, the fan always will run full speed becasue a 3-pin fan was not designed for that PWM Mode of control. So for a PUMP that SHOULD run full speed all the time, the pump is wired just like a 3-pin fan. THEN it is best if YOU go into the BIOS Setup screen for the CPU_FAN header and set it to use the new PWM Mode, not the older Voltage Control Mode (aka DC Mode). Do not let it use the automatic fan type dectection. This ensures the pump gets exactly the power it needs AND that the header will monitor it for failure.
That leaves us in need of a fan header that will control the fans on the radiator according to the CPU chip's cooling needs. The fans supplied with this system are of the newer 4-pin PWM type, so that is the best Mode setting to use for the mobo header you use for them. But those fans also need a fan header that uses the temperature sensor inside the CPU chip as their guide. The CPU_FAN header always does this, but it's already in use (above). IF you also have a CPU_OPT header, then this is ideal - it uses that sensor and controls according to the CPU chip cooling needs, and it will monitor the FAN speed for failure.
The instruction sheet for this AIO system is not sufficiently clear on p. 13 where its drawing depicts how to plug in the cables from the pump and fans. the THREE-pin female connector from the PUMP cable should go to the CPU_FAN header. The FOUR-pin Splitter that feeds all the rad fans (or maybe just one fan for the 120 mm rad/fan system) should go to the CPU_OPT header if you have one.
NOTE that all of these fans are plain RGB type ones. That is, each fan has TWO cables from it - one for the fan motor ending in a 4-pin standard fan female connector, and a second wider one ending in a different female connector with four holes in a row. That second connector is for the plain RGB lights in the frame (this is not the other lighting system called Addressible RGB with a 3-hole connector). Unless your mobo has a 4-pin plain RGB header built into it, you will be using the small manual control box that comes with this system to feed the rad fans' RGB cables with lighting signals.
Now, what if you do not have a CPU_OPT header? In some mobos, one or more of the SYS_FAN or CHA_FAN headers MAY have the option to use the CPU chip's internal temp sensor as its guide, so you can set that to control the rad fans.
Another easy option is to use a simple 2-from-1 fan SPLITTER to connect both the pump and the rad fan to the CPU_FAN header. If you do that and ensure the header is using the PWM Mode, then the PUMP will always run full speed, but the rad FAN's speed will be controlled by that header via the PWM signal from Pin #4. In this case, you need to watch for a particular detail. Any fan header can deal with the speed signal returned to it from only ONE device. So any good Splitter will send back the speed signal from only ONE of its output connectors and not from others. The simple way they can do this is to omit Pin #3 from one of the outputs. So you should ensure that the PUMP is plugged into the Splitter output that HAS all four of its pins, and then that is the device whose signal gets to the header and is monitored for failure.
If none of those scenarios fitst our mobo, tell us what tyou do have and we can advise.