You have one CPU fan header on the mobo, but in reality you have 2 CPU fans. So you could connect one of the fans to the mobo, and the other one to the PSU. This way, you would command the rpm of only one fan (the one connected to the mobo, by PWM), the other one would be at full speed all the time.
So the solution is to use an Y-cable and connect both fans. Mobo will send the PWM signal to both fans and both fans will operate at the same speed all the time. However, it's not possible to get rpm readings from both fans (pin no.3) due to electrical reasons, so actually only one of the fans will report back the speed. If you check this picture (http://www.xbitlabs.com/picture/?src=/images/coolers/thermalright-silver-arrow-sb-e/02_tr-sbe_acc_big.jpg), you can notice that one header has the 3-rd wire cut out. The fans are identical and ordered by the same PWM signal, meaning that they will rotate roughly at the same speed, so you can read only one of them, the other will not be far off. Speed sensor pin and PWM pin are hence connected to the mobo.
The other two pins are +12V and ground and could be connected to the motherboard, like you asked. However, that would put maybe too much stress on the fan header, which was designed to provide power to only one fan. The PSU connector on the other hand can provide much more power and should cover the needs for 2,3,4 or even more fans.
So this solution is a workaround, it doesn't matter where do you take the power from. Actually, the fans can be connected to any +12V source, as long as it can provide enough Watts (a few Watts per each fan). The connection is correct and it will work flawlessly.