I presume your RGB lighting strips are of the FOUR-pin plain RGB type, right? They should be connected either to the mobo's LED_CPU 4-pin header (see mobo manual p. 13, item 7) below and to the rear of the CPU socket, OR to its FIVE-pin LED_C1 header (item 8) on the bottom edge about 1/4 of the way in from the rear edge. That second header, the LED_C1 one, is designed for use with a slightly different RGB system that includes a separate line for White LED's in the strip which you may not have. So IF you are using that header your RGB Splitter will only connect to the first four pins.
The IMPORTANT thing here is getting the connections right, and these connectors make it easy to err. However, look closely at the connectors on both ends of the Splitter, and on the cables to the light strips. Also note the pinout diagrams for those headers on manual p. 15 and 16. On the connectors there should be a marker for the hole (or pin) for the +12 VDC line. At EACH connection point you MUST turn the connectors so these match up, and so it connects to the correct pin of the mobo header.