All aios use a 4pin to the cpu_fan header. It's basically a requirement set by the cpu. If the cpu thinks it has no cooling provided, it'll tap that warning error, and if ignored possibly shut down. There is a bypass in bios to disable that warning, but that's never advised to use, the cpu uses that to protect itself and you from possible damage.
That cpu_fan header should always be populated by something, doesn't matter if it's the pump or a fan, just something with rpm ability, or you'll get that warning. If the pump is populating an aio/pump header instead, then the fans should be on cpu_fan. If the fans are pump/Sata powered, use the cpu_fan header for the pump, not the aio/pump header.