A couple of things to check.
First, you might just have a bad contact in the wiring. The fan's speed signal is generated by the fan and sent back to the mobo on Pin #3 of the connector. So if the connection between a fan and the Splitter output is poor on that pin, or at the Splitter to the mobo header, then the signal might not get through. Try simply unplugging and re-connecting a couple of times on each connection in case that will clean off some dirt and re-establish the connection. While you are at this, examine the connectors for possible loose wiring.
Secondly, IF the Splitter involved has more than two output "arms". there is a small issue to look for. Any mobo header can only deal with the speed signal from ONE fan. So all Splitters will only send back the signal on Pin #3 from ONE of its fans, and ignore all others. Most commonly this is done by simply omitting Pin #3 on all except one of the male output arms. Thus there MUST be a fan plugged into the only output that has all 4 pins.
Not having the speed signal detected is only a very small problem. It has NO impact on ability to control speed - the mobo does not need that info to do its job. It does affect the header's second function, though - that is, to monitor the speed signal for fan FAILURE, and warn you if that happens. No speed signal is interpreted as no fan functioning, and can generate the warning. Moreover, without that signal the header cannot check for failure.