MadsModsat is correct, but there are other considerations.
The immediate questions is why this is happening. All fan headers have three functions: provide power to the fan, control its speed acccording to component cooling needs (as measured by a temperature sensor for the component being cooled by this fan), and monitor the fan speed signal for FAILURE so it can warn you of that event. Generally the CPU_FAN header pays particular attention to the Failure part, and warns you immediately if there is no speed signal on it, and MAY (depends on the mobo) take very quick action to shut down and prevent CPU overheating if there is "no CPU cooling". So when you have nothing connected to the CPU_FAN header, configuring that header to Ignore the speed reading will cancel the failure monitoring there.
That still leaves the question of HOW cooling of the CPU is being controlled. The default arrangement is that a CPU cooler of some type will be connected to the CPU_FAN header, and that header monitors the temperature of a sensor built into the CPU chip, and alters the speed of its "fan" according to that measured value. Of course, you also have options in configuring the CPU_FAN header to change to a slightly different method of deciding what speed the CPU cooling "fan" (or whatever) is running. For MANY (but not all) liquid-cooled systems, the small change is that the PUMP is set to run full speed all the time, and the FANS on the radiator are connected to the CPU_FAN header so their speeds are altered to control the internal CPU chip temperature. To assist with this, many mobos (yours, too, OP) have an AIO_PUMP header dedicated to the pump alone, and it will always feed full 12 VDC power to the pump, AND it will do the careful monitoring of the Pump speed for FAILURE, which is critical in liquid-cooled systems.
OP, you say you have a custom liquid cooling system, but no further details. I don't know what instructions came with it, particularly with respect to WHERE to connect its rad fans. You indicate that all your fans (I assume including the rad fans) are connected to a fan HUB. I also assume that Hub has a connection to a mobo fan header, and you have NOT connected that to the CPU_FAN header. So it's probably to a SYS_FAN header that uses a DIFFERENT temperature sensor to guide it - one in the mobo. That is ideal for case cooling fans, but not for controlling cooling of the CPU chip. Probably it would be preferable to connect the RAD FANS to the CPU_FAN header so they are controlled by the CPU chip's internal temperature sensor. But, do you have any specific instructions that came with your cooling system? What do they recommend?