You should not make connections based solely on the labels of that fan hub in the case, and I'll explain why and how.
The fan headers on your mobo can be divided into two similar groups that differ in one important detail. Every header does its job of controlling its fan's speed according to an actual temperature measurement by a sensor. The CPU_FAN header uses ONLY the sensor called CPU Core actually built into the CPU chip, so of course you want to use THAT header to connect your real CPU cooler fan. All of the SYS_FAN headers will give you an option in their respective configuration screens to use EITHER that same sensor inside the CPU chip, OR a different sensor on the MOBO that is a much better measure of cooling needs of all the mobo components. Normally each of these will be set to that Mobo sensor, but you can check to be sure. (The header labelled PUMP_SYS1 CAN be used as a SYS_FAN header OR as a PUMP header for AIO cooler systems. Unless you have a liquid-loop AIO system with a radiator, you do not need to use this header for a pump.)
So your Case Ventilation fans (the three included with that case) should be controlled by a SYS_FAN header. To do that you should connect the cable from the Hub unit (see case manual p. 20, item on the far right) to one of the mobo SYS_FAN headers. Then plug in the three 3-pin case fans to 3-pin outputs of the Hub. Do NOT connect your CPU cooler fan to this Hub. Connect that, instead, directly to the CPU_FAN header. This will ensure that the CPU cooler is guided by the real internal CPU temperture, and the case ventialtion fans are all guided by the temp sensor on the mobo.
There is one small "glitch" that this might cause. Doing as above sends NO fan speed signal to the Hub's Main / CPU Fan output, so the hub will report to its SYS_FAN host header NO fan speed. That header monitors the speed signal for possible fan failure, and may show you an alarm that your case fan has failed. This is a false warning. In fact, becasue all your case fans are connected via that Hub, the mobo can NOT monitor the speeds of ANY of those three for you. So, from time to time YOU should merely look to verify they all still are working.
If yo do not have it yet, download the manual for BIOS Setup adjustment from here
https://download-2.msi.com/archive/mnu_exe/mb/AMDAM5800BIOS_English.pdf?utm_source=msi&utm_medium=qr-code&utm_campaign=MB_UserGuide&utm_term=BIOS&utm_content=Manual Link
See p. 5 for how to enter BIOS Setup. Basically when you start up, immediately press and hold down the "Del" key until the Setup opening menu appears (p6). Use the F5 key to reach the Hardware Monitor section (p. 18). See p. 19 for the details of the fan header configuration screen. At upper left you select which header you are working on. For each one you work on, start at bottom centre and click on All Set Default. For the CPU_FAN header and most CPU cooler fans, the default settings as shown in the manual should be correct. For the one SYS_FAN header you use to connect the Hub you need to make some changes.
1. At upper centre-left UNset the marker for Fan Type Auto Detect amd then below that set to PWM. This is becsue the "Auto Detect" system relies on what fan speed readings the header receives, and in your case that will be NO speed signal, so it will get its setting wrong! Then you set to the correct PWM setting for what that Hub needs as input. (The hub, presumbaly, "translates" the PWM speed signal it gets from the header into the correct Voltages output to its 3-pin fans for speed control.)
2. To right of centre, second from top, set the Temperture Source Select to Motherboard or System, NOT to CPU Core. When done, use the "X" at top right corner to return the the Main Menu (p.6). There on the top right corner click on the tiny box with the "-" sign to get to the Exit Menu (p. 66). There choose Save Changes and Reboot.
When this all is done, the CPU cooler fan will be automatically controlled according to the temperture inside the CPU chip, and that fan's speed signal will be shown in BIOS Setup (and in the MSI Centre software tool) and montoired for possible fan failure. The three case ventilatioon fans will be controlled together through the Hub by the SYS_FAN header in use guided by the other temp sensor on the mobo. But you will not "see" any case fan speed anywhere, nor can they be monitored for failure.
IF you actuallly want to see case fan speeds and have them monitored for failure, that CAN be done by connecting each fan to its own individual SYS_FAN header and configuring all of them to the same cooling strategy, BUT setting the fan Type to DC rather than PWM. You have six SYS_FAN header available for this. This way does not use the Hub at all. If you need more details on this way, post back here.