Some of those 4-pin molex plugs can be real blighters to uncouple from a socket, I know from experience.
Try pulling one end of it and then the other end, several times in a kind of rocking movement, that should gradually get it to shift in a controlled fashion rather then trying to pull the whole plug straight out and it suddenly coming out, possibly jarring your hand against the system case.
They don't have a locking latch, they don't need one!