First thing may be to check this detail. The PUMP unit mounts on top of your CPU chip with several fasteners to hold it in tight contact. But BEFORE you mount it there, SOME pumps come with thermal paste pre-applied on their smooth face and protected by a thin clear plastic film. You MUST remove that film before installing! OR, if your system came with no such thermal paste pre-applied, you have to get some (it MAY have been included in the kit) and apply just the right amount (follow instructions!) yourself to the CPU top before installation. Too little or no paste substantially reduces heat removal, but too much also interferes.
Regarding connections, I suggest this. Use the instruction pages headed "Connection with original fan". The PUMP unit has a two-headed cable. Of those, the smaller one with 3 wires should go to your mobo's PUMP_FAN1 header. The other plugs into the LAST of the 3 rad fans in a daisy-chain connection system. These two send the pump speed signal to the PUMP_FAN header and get power for the pump from the fan chain. The central connector of a separate cable with 4 connectors (item J in the AIO manual) connects to the FIRST fan of the trio. (The three fans all are connected to each other in a chain.) It has one wide connector to plug into a SATA power output from the PSU for power to the PUMP, the rad FANS, and the LIGHTS. It also has a 2-headed arm with male and female 3-pin connectors to get the control signals for the LIGHTS from a mobo JARGB_V2 header and relay them to the first fan in the daisy-chain system. (You use only the female connector to plug into the mobo header and leave the male one unused. Maybe tape over its pins.) And finally it has an arm to plug into the mobo CPU_FAN1 header to get its PWM speed control signal for the fan motors and to return to that header the speed of one of those three fans.
With these connections made, the system gets power for all its parts from the PSU. It gets speed control for the FANS from the CPU_FAN header, display control for the LIGHTS from the JARGB_V2 header, sends the PUMP SPEED to the PUMP_FAN header, and a RAD FAN SPEED to the CPU_FAN header. The pump should operate at full speed all the time because the PUMP_FAN header does not attempt to reduce speed the way a fan header does. Typically that pump speed is 3100 rpm; rad fan speeds range from 550 to 2250 RPM according to the specs of your system.