I agree with COLGeek. More info to help.
The PWR_FAN header on your mobo is an old feature. Its intention was for use with a certain design of PSU that had a special pair of wires from it ending in a normal 3-pin fan connector. This was used to deliver to the mobo PWR_FAN header only the SPEED of the fan inside the PSU for user info. It was NOT used for any fan control. Further, since the header does NOT control that fan's speed (its speed is controlled solely by the PSU itself), that PWR_FAN header does NOT have any way to control its output - it only provides a fixed 12 VDC supply.
Connect that AIO pump unit's cable to the CPU_FAN header and ensure its configuration (see mobo manual p. 23) has the CPU Fan Control Mode set to PWM (not Auto or Voltage) and the CPU Fan Speed Control set to Normal. Do NOT use the special "Low Noise Cable" that is included with this AIO kit - that item is used ONLY when you can NOT connect to the CPU_FAN header and must power the system directly from the PSU. When you connect as advised, the PUMP unit will run full speed all the time as intended, and its speed will be reported to the CPU_FAN header. In BIOS setup I expect that this speed (about 2900 RPM) will be shown with the label "Fan Speed", but it really is the PUMP speed. The speed of the actual rad fan on this system will NOT be shown anywhere. However, the rad fan speed WILL be controlled according to the temperature measured inside your CPU chip. There is also an important second function of the CPU_FAN header - it monitors that pump speed for FAILURE (no speed signal). In an AIO system the key part of the overall cooling is the PUMP - if it fails there is no movement of heat from CPU to rad, and the CPU can overheat rapidly. MOST mobo CPU_FAN headers will react to such an event by popping up on your screen a warning notice and then, within a short time, shutting down your system completely even without waiting for the temperature inside the chip to go 'way high. Many even will not allow the system to boot up again if there is no speed signal at the CPU_FAN header on start-up.
So, connecting to the CPU_FAN header and configuring properly will give you both proper control of CPU cooling and monitoring of the system for possible failure, with action if necessary to protect your expensive CPU chip.