PWM fans are SLIGHTLY better in a few technical respects, but the difference is small. You mobo allows you to specify on each of its fan headers whether it uses the older DC Mode or the newer PWM Mode, so you can arrange to use either type.
With RGB fans, you can get quite confused by the way they use the terms "3-pin" and "4-pin". Any RGB fan is really two devices in one unit - the fan motor, and the lights in the frame. Each device has its own cable, so two cables per RGB fan unit. The older design of motor uses three wires and connector pins, whereas the newer PWM type uses four, so they have become known ad 3-pin fans and 4-pin fans. Unfortunately, the RGB lights now widely used also come in twp different and incompatible types. The plain RGB type uses a connector with four pins that supply a common +12 VDC power supply and three separate Ground lines of the three basic LED colours in the strip. So the mobo header has four pins, and the female connector on the light cable has 4 holes in a straight line, but this connector is much wider than a common fan connector. The more complex Addressable RGB or ADDR RGB or ARGB system uses three lines - common +5 VDC and Ground lines (NOTE the voltage difference) and a digital Control Line. So it uses a three-pin connection system that looks very much like the one for a plain RGB (4-pin) system, but with one pin missing. The net result is that the LIGHTING systems also have become identified as 3-pin RGB (that is, ADDR RGB) and 4-pin RGB (that is, plain RGB). When they lighting units are part of a fan, too, the naming becomes confusing!
As it happens, MANY "RGB fans" have FOUR-pin motors in them because that is the newer design, and this has nothing to do with whether the LIGHTS in the fan frame are of the plain RGB (4-pin system) or the ADDR RGB (3-pin) system. When looking at fan specs, you need to examine BOTH the motor and the RGB light connection details. Helpful clues IF the electrical details are not clear about the lights. If they don't say Addressable or ADDR RGB or ARGB, it may be plain RGB. Sometimes ADDR RGB systems are called Digital RGB systems (because of the digital data packets sent along the Control Line in this system). The number of PINS on the lighting connector is a big clue. The VOLTAGE is a big clue because plain RGB always uses 12 V, and ADDR RGB usually uses 5 V. The PHOTOS shown on the web page can help, too. Because of their design, the plain RGB system can produce may colours that can be changed over time, but at any one moment the colour of the light strip will be the SAME all along the strip. With an ADDR RGB system the colours can be different all along the line at any one moment, so the displays can include rainbow effects and colour sequences chasing each other along the strip. Still photos that show a rainbow of colours around the fan normally indicate a ADDR RGB type in the fan frame, whereas if the fan has only one colour all around it, then it is probably a plain RGB system.
Corsair includes among their product lines RGB fans with both types of RGB light systems, and fans of both 3-pin and 4-pin motor types.
Any RGB lighting device requires something to provide power and control of the displays. Many mobos can provide that from headers on the mobo and some software utility to operate that. But you MUST match the type of hardware header on the mobo to the type of RGB lighting system you have. The NAME of the lighting control utility does NOT tell you the hardware type on the header. In your case, OP, the MSI mobo you have has BOTH types of RGB header, plus a special one for use with certain Corsair lighting systems.
For people with no correct RGB header on the mobo, the lighting device makers sell their own Controller boxes. Usually these are one box that contains the light display controller and several output ports for the lighting devices, plus connections for power and some way to select the display, either a manual box with buttons or a software utility and some communication connection to a mobo USB2 header. Corsair has done these things a little differently partly because they were into this market early. The connector configurations they have used are not quite the same as what are more common now, but they are the same in their electrical characteristics so some simple adapters may be used. Corsair generally has separated the controller function from the multi-port output hub function into two boxes. The latter is done using their RGB Fan LED Hub which has six output ports, a cable to the PSU for power, and an input port that gets it control signals from a second box. That box could be a manual one with buttons (their Fan Controller), or an electronic box (either their Lighting Node Pro or their Commander Pro) that is controlled by their iCue software utility. The Lighting Node Pro controls lights; the Commander Pro adds control of Corsair fan motors, too, in one centralized utility.
IF you buy a Corsair AIO system, the simplest ones have the normal mobo automatic CPU fan control system do the control of the rad fan(s) of the cooling system. But their more complex AIO systems have the rad fans connected instead to sockets on the PUMP unit of the system, and that pump in turn has a communication cable to a mobo USB2 header. Then that same iCue software utility controls the pump and the rad fans of the AIO system independent of the mobo. If you buy all Corsair components, you could have iCue controlling all your cooling - CPU and case fans - and all the RGB lights, too.
As it happens, your MSI mobo has two headers for use with Corsair ADDR RGB lighting systems. (For the moment, ignore its JRGBn headers that are for plain RGB lighting.) It has one JRAINBOW1 header used to power and control any ADRR RGB lighting units via the MSI Mystic Light utility if you choose NOT to connect your ADDR RGB lights to any Corsair control system. (You might need some adapter or cable for the special Corsair connectors, though.) OR if you want to have Corsair's hardware do it, you use their RGB Fan LED Hub to connect to the fan lights, and one of their controller boxes to provide the control signals to that Hub. If you use their more advanced controllers, that lets their iCue utility do the light control. BUT your mobo also has a special header called JCORSAIR1 as a third option. That header can be used instead of a Corsair controller box to supply display control signals to the Corsair RGB Fan LED Hub , with the signals generated by the MSI Mystic Light utility instead of by the iCue utility. Just what you needed - MORE options to add to your design considerations!
All of that is about the RGB lights. Fortunately, the case ventilation fans are simple - well, almost. Each fan has it own separate fan cable and connector, and most of these are of the 4-pin PWM design. The simple way is to connect those to mobo SYS_FAN headers and configure them to do automatic fan speed control based on a mobo temperature sensor. That's the common way. But IF you opt to get the Corsair Commander Pro box it has its own fan motor ouptut ports in addition to ADDR RGB light ports, so it can become the fan controller, again through the iCue software utility.
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