The connector in your picture is for the control of additional RGB - connect it to other NZXT RGB components or compatible with NZXT.
This way you can control compatible RGB lights for all connected components. But the componetns don't come with the fan, they are sold seperately.
It is written in the instructions, as the final step
But it is optional, it is not required. If you don't have extra RGB components to connect, you can just leave the cable alone