You will have noticed that the rad fans have TWO cables each. Of these, one with a smaller connector with 4 holes is for the motor only and will connect (via an included Splitter) to a mobo fan header. The other has two wider connectors on it, one each male and female. These are for the lights only, and they are designed for a "daisy chain" connection: the input (female with 3 holes) plugs into one of your mobo ARGB headers using cable E of the set, while the input for the second fan's lights plugs into the male output connector of the first one.
First the cooling pump and rad fan motors. The cable from the PUMP mounted on the CPU chip plugs into the CPU_FAN header. It VERY likely has only three holes, but plugs in there anyway. It is wired electrically like an older 3-pin fan, so when done correctly it will always run at full speed. Then the two rad fans should be plugged into the three-output Splitter item S (make sure one of these fans is plugged into the only Splitter output arm with all four pins), and that Splitter is plugged into the CPU_OPT header. Do not use the SYS_FAN3_PUMP header (p. 12, item 6) for anything now - you MAY decide to use it for a case fan later. When you have all your system assembled, go into BIOS Setup (manual p 22 - 23) and choose MIT at the top left. See p. 27 for Smart Fan 5 Settings. There you can choose particular fan headers and configure each independently. For the CPU_FAN header (and these settings also will be applied to the CPU_OPT header), set as:
Fan Speed Control Normal (automatic)
Fan Control Use Temperature Input to CPU - you may NOT have any choice for this header)
FAN / PUMP Fan Control to PWM
Fan Stop DISabled
Fan / Pump Fail Warning ENabled
The default setting for a warning of high temperature inside the CPU chip is disabled, but you can enable it to some reasonable setting if you wish.
When all these are set for the CPU_FAN header, use Esc to return to the MIT Menu (p. 24) and choose Save and Exit at top right. On that new menu (p. 38) choose Save & Exit Setup to save your settings and reboot.
When things are connected and configured this way, the pump will always run full speed, and the rad fan speeds will be controlled automatically according to the temperature inside the CPU chip. The CPU_FAN header can show you the speed of the pump, and the CPU_OPT header can show you the speed of one of the two rad fans. Each of those will monitor those speed readings and can warn you with a screen message if they fail. The pump is not allowed to be stopped by the CPU_FAN header.
This does not address any of your CASE Ventilation fans of the configuration of their headers in BIOS Setup, but you did not ask for help there.
Now on to the the LIGHTS in the AIO system. There are lights in the pump top, BUT I see no way to make a connection for them. I expect they will light up and do some pre-programmed display. However, the rad fans DO have lights requiring power and control. The system includes a manual Controller box only for people who have no other Controller, but you do not need that - you can use your mobo instead. So do not use item R of the set. Use Cable E of the set to connect from the female input of one fan's lighting cable to one of your mobo's two DLEDn headers (p. 12, item 9, and p. 15). Do NOT use the LED_CPU or LED_C headers. Connect the second fan's lighting cable to the output from the first for the daisy chain. Next to the DLEDn header is a jumper block called DLED_V_SWn (see p. 16). Ensure that it is set for 5 VDC to match the needs of your fans' lights.
A DVD with software etc. came with your mobo. See manual p. 41. In the Application Software I expect you will find a utility called RGB Fusion you should load and install. Use that tool to set up the details of the lighting displays that your rad fans do. As I said, I expect you will not have any tool to control the lights on the pump unit.
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