CountMike is right. Just a bit of added info for you.
Fan headers have three functions: provide power, control speed, and monitor for failure of the connected device. Connecting as above will do the first two items for both the pump and the rad fan. In the case of the pump, that AIO_PUMP header will always run the pump at full speed as required, and the CPU_FAN header will control the rad fan speed according to the temperature measured by a sensor inside the CPU chip. Regarding the failure detection functions, both headers will monitor the speed signals they receive back from their connected devices. If either of them has NO speed signal, that is interpreted as a failure and a warning message will pop up on your screen so you can take action. SOME mobos (don't know about yours) may take action on their own without waiting for a long time. Anticipating CPU overheating with no cooling, they may actually shut down your system without waiting for the internal CPU temp sensor to show high CPU temps. In an AIO system, the pump is the more important of those two for this monitoring. So doing a CountMike says will accomplish all of this.