Just plug it in. It will do its job. But for your info, its job does NOT include having the mobo CPU_FAN header control the H115i system. All that connection to the CPU_FAN header does it allow that H115i system to report a speed to the header. That is important because most mobos pay special attention to the fan speed of the CPU cooler to detect possible fan failure. If the header gets no speed signal, the mobo may take drastic action to shut down your system, or at least issue a prominent warning for you to shut down before the CPU is damaged by overheating. So it is important to give that header a valid speed signal to avoid such drastic messages.
Actual CONTROL of the pump and the radiator fans of the H115i system is done instead by that system itself, using the Corsair Link software utility. You REALLY should have that downloaded and installed on your system. And it MUST have that cable from the H115i's pump unit to a mobo uSB2 header so LINK can communicate with the pump unit.