There are NO lighting cables for plain 4-pin RGB or for fancier 3-pin ARGB lights on that cooler system. The PUMP unit has some lights in it (white only) that are powered from the pump wires, and there is no way to control them. The RAD FANS have no lights and only the standard 4-pin fan MOTOR cables. So the only items we need consider are how to plug in the pump and the rad fans.
Background. In an AIO cooling system there are two items that impact CPU cooling: the pump which impacts the rate of moving heat from the CPU to the rad, and the rad fans that impact the transfer of heat from the rad to the air exiting the case. To CONTROL CPU cooling you do NOT want the speed of both of these devices to be changing. So normally the PUMP remains at a fixed speed - commonly just full speed always - and all control is done by altering the speed of the RAD FANS.
Any fan header has four functions:
(a) provide power to the device attached;
(b) control the speed of the device;
(c) measure the speed of the device; and
(d) monitor that speed to detect failure of that device (that is, no speed signal received).
The header can deal with the speed signal sent back to it for functions (c) and (d) from only ONE device if you have two or more devices plugged in using a Splitter or Hub. So that Splitter or Hub will send back to the host header the speed of only ONE of its load devices and ignore all other speeds. This means you need to make connections so the correct device's speed signal is sent back.
For function (d), failure detection, the CPU_FAN header commonly takes great care and has significant action when failure is detected. If it receives no speed signal it will put up an immediate warning message on your screen and then, after a short pause, often will shut down your system entirely without even waiting for the temperature inside the CPU to be reported as too high. This is to prevent very rapid CPU overheating causing permanent damage. In addition, many such systems will not allow you to boot up if there is no speed signal at the CPU_FAN header as soon as you try. In an AIO system the most important item to monitor for failure is the PUMP - no fluid circulation means NO CPU cooling. Failure of one or both rad fans would produce a much slower rise in CPU temperatures that is detected by another system and which causes a shut-down more slowly.
Your mobo has only one CPU_FAN header and no others related to that. So your CPU cooling system must be connected there. How to do that with one pump and two fans? You have two options with that AIO cooler system. One is to connect only the RAD FANS to the CPU_FAN cooler using a small 2-output Splitter supplied. Then you use the adapter cable supplied with the PUMP to connect it to a SATA power output from the PSU to give it the constant 12 VDC supply it needs. BUT this system does NOT feed the pump's speed anywhere, so it cannot be monitored for failure. The speed of one of the rad fans, and possible failure of that, is monitored that way. The OTHER option is better, in my opinion. You get a 3-output Splitter like this
That's actually a 2-pack of them. You plug this into your CPU_FAN header. From the PUMP power cable you remove the adapter extension and plug the PUMP into the ONLY output connector of the Splitter that has all four pins. (The other two have Pin #3 missing.) Then plug into those other two the cables to the RAD FANS. Go into BIOS Setup when your system is working and check this detail in the CPU_FAN header screen. SOME such headers have a choice of whether it behaves as a PWM Mode header, or as a Voltage Control Mode (aka DC Mode) header, and MAYBE a third choice for Auto Detect. Ensure this is set to PWM Mode. Why? Well, the PUMP is wired just like an older 3-pin fan. When connected to a header providing power and control using the newer PWM Mode, its speed cannot be controlled and it always runs full speed, just as it it designed to do. Meanwhile the two rad fans WILL respond to those signals and have their speed adjusted to control CPU cooling. Connected this way, the PUMP speed wil be shown to you in BIOS Setup (and will alway be max) AND will be monitored for possible failure. The RAD FAN speeds will NOT be "seen" or monitored anywhere, so from time to time YOU should just look and be sure they both are running.
When you connect this way, all the AIO power and control comes from the CPU_FAN header, and the mobo SYS_FAN header is free to use for case ventilation fans. The pump speed is always full speed but is montored for possible failure. The Rad Fan speeds are not montored, but they ARE controlled by the CPU_FAN header according to the actual temperture measured inside the CPU chip.