To ensure you get the right advice, post back here the maker and exact model number of your mobo, AND the maker and model of your AIO cooler system.
I will make a general comment, though, because what you have done is wrong in at least one respect. The only thing that should plug into a mobo AIO_PUMP header is the pump power / control cable, aka its "tach cable". The manual uses that last term because it has two functions: it gets power for the pump, and it returns to its header the PUMP speed, which needs to be monitored for FAILURE. What is unique about the AIO_PUMP header is that it does NO speed control - it only sends out a constant 12 VDC so the pump can run full speed at all times, which most AIO systems want. Many AIO systems work well if you connect the PUMP to the AIO_PUMP header, and the rad FANS to the CPU_FAN header so that the fan speeds ARE controlled according to the temperature inside the CPU chip.
The AIO system manual says to connect the pump tach speed line to the CPU_FAN header because they are not allowing for a mobo that has an AIO_PUMP header available. On a mobo with that limit, it is important to connect the pump to the CPU_FAN header for failure detection. That header will monitor the speed signal sent back to it (from a pump, in your case) and, IF there is NO speed signal, it will believe the pump has failed and the CPU is getting NO cooling, so it will send out a prominent alarm (you are getting that now with nothing connected to that header) and may shut your system down to prevent CPU overheating. But when you do have the AIO_PUMP header, that same monitoring and alarm system is applied through that AIO_PUMP header, so that works. The CPU_FAN header is particularly configured to alter the speeds of whatever you plug in there according to the temperature inside the CPU chip. Many AIO systems use that feature to power and control the FANS on the radiator to regulate CPU cooling.
Your photo shows two male 4-pin fan connectors. That means you have made some incorrect connections. Normally the PUMP tach cable ends in a FEMALE (with holes) connector that can plug into a mobo male (with pins) fan header. Often that connector is 3-pin, but it might be 4-pin depending on the design of your AIO system. I suspect that the items in your photo are intended to be where you plug in the FANS for the radiator. Your system MAY be designed to connect this way: one female connector from the pump to the CPU_FAN header (not the AIO_PUMP header), and plug both rad fans into those two male connector in your photo to provide them with power plus the PWM speed control signal from the mobo header. As I said, we need the specs of your mobo and AIO system to know for sure.