Setting Sun :
I have an Asus Maximus VI Hero motherboard. It has 3x chassi fan headers, and I need to connect a total of 4 fans. So do I connect the 4th fan to the CPU fan header, or the CPU_OPT fan header?
As long as the fan has an rpm sensing capability, and preferably a PWM 4 pin on the CPU primary header, but you can use either of those headers, but if you need that fan to run at full speed you'll need to disable in the BIOS, fan speed control for any of the headers you use that you need full rpm output.
The only reason you'd have the CPU and the CPU_OPT available is if you were more than likely water cooling, and sometimes it's a good thing to have a fan connected to that main CPU header so the system thinks it has a CPU fan.
Some of us running water cooling use that header to add a specific fan blowing air onto the motherboards voltage regulators as water cooling removes the air cooling the M/B V/Rs were naturally getting from the stock air cooler.
That tricks the motherboard and cpu into thinking it's still running a stock air cooler.
Unless the motherboard itself is supplying it's own cooling for the VRs.