So the Wraith cooler you have is a different version that has ONLY one cable to plug into a mobo header, and it has THREE holes, right. To be sure, I expect that looks like it has space for 4 holes, but one is blocked off. Further, that fits only onto one of the two mobo headers marked JRAINBOW1 or ....2, the ones that have only THREE pins. Right?
All right. In that case, the ARGB lighting controller software you get from Cooler Master for the Wraith system is NOT going to work and you can ignore it. (Maybe even uninstall it if this proves right.) The ONLY real way to control the lights in that cooler is to use the utility provided by your mobo maker, the MSI Mystic Light. That is the tool that sends out control signals from the JRAINBOW1 etc. header. Now, that mobo has two headers for plain RGB called JRGBn, and two for Addressable RGB called JRAINBOWn. You will be using the latter. Within Mystic light I expect that all four of those headers are treated a separate lighting "channels". I expect that, for the two JRAINBOW headers, you have the option to program each separately or to synchronize them. I don't know if you are using any of the othere RGB headers. But at least look in Mystic Light at the JRAINBOW header you have plugged your Wraith cooler lighting cable into, and set it to generate the RGB displays you want. Ensure that Mystic Light is configured to load and start this job every time you boot up.