There are two main designs of fan widely used today (there are others, too). The older design is the 3-pin fan. Its connections to the mobo header are:
Pin #1 - Black - Ground
Pin #2 - Red - +DCV supply
Pin #3 - Yellow - Speed signal.
The voltage supplied by the mobo on Pin #2 varies from 12 VDC max (full speed) down to about 5 VDC (min) because any lower voltage might cause the fan to stall and fail to re-start until the voltage is raised significantly. The motor generates a speed signal consisting of 5VDC pulses (two per revolution) sent back to the mobo header on Pin #3. This is counted by the mobo for speed measurement, but is NOT used for speed control. The mobo does not care what the speed is - it only cares what the TEMPERATURE of the device is that the fan is cooling. In case of the CPU_FAN header, the mobo uses a temperatures sensor built into the CPU chip by its maker. But most mobos DO pay attention to the speed signal for a different purpose - failure detection. If the fan speed sends out no signal (or in some cases, a speed lower than a limit) the mobo sends you a warning and may take more drastic action to prevent overheating. No matter which software utility you use, control of the fan speed is done entirely by altering the voltage supplied on Pin #2 of the header.
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The newer fan design is called PWM, and uses four pins on the header. These are:
Pin #1 Ground (again)
Pin #2 +12 VDC constant
Pin #3 Speed Signal (again)
Pin #4 PWM Signal
Note two changes - the power supply is ALWAYS 12 VDC, and the new PWM signal is sent out from the mobo Pin #4. Inside the motor case there is a small chip that uses the PWM signal to modify the flow of current from the constant +12 VDC supply thpough the motor windings, and this is what controls the speed. In this system, speed control is done only via the PWM signal, and the motor MUST have the special chip (and a 4th connection pin) to do that.
The design of the new 4-pin fan system included some backwards compatibility features. If you plug a 3-pin fan into a 4-pin header, it will get a constant 12 VDC suuply and run full speed all the time. It will not get the PWM signal with no 4th pin, and it could not use that, anyway, because it has no special chip. You get full cooling, but no possibility to reduce it. If you plug a PWM (4-pin) fan into a 3-pin header, that fan gets no PWM signal to use so it cannot modify the power it receives. BUT it revceives a supply of VARYING voltage just as a 3-pin fan would, so its speed IS controlled by that factor.
Now, a 3-pin mobo header can only do the Voltage Control Mode with its fan. A 4-pin header is designed to do PWM Mode of control. BUT it could also be used by the mobo to do the older 3-pin Voltage Control Mode and not bother sending out a PWM signal. So, on many current mobos they use only 4-pin headers, but what the mobo does with those can change. The header may use only the new PWM Mode, or you may have an option in BIOS Setup to configure the header to use the older Voltage Control Mode. Some mobos claim their system can detect what type of fan you have plugged in and make the configuration happen automatically for you, so they offer an "Automatic" option in the choice of control MODE. NOTE that this is a different option than the one about whether control is done automatically (according to temperature) or manually (with a setting you fix) or other option. There are SOME mobos that "fake" the Automatic Mode Selection feature. They just always use Voltage Control Mode even though they have 4 pins, and rely on the backwards compatibility feature of the 4-pin fan to achieve speed control without using the new PWM Mode.
OP, the manul for your mobo does NOT make clear whether the CPU_FAN header of your mobo has the option to set it to use only the older Voltage Control Mode. But look at the details of its configuration options. IF you have an option to use either PWM Mode or Voltage Control Mode (also called DC Mode, etc.), set it to the Voltage or DC Mode, and not PWM. That should be able to control the fan speed if you also have set it to use its normal automatic temperature and speed control system.