For the COOLING part of that Deepcool castle 240 rgb v2 system there are two connections to be made to mobo fan headers. One is a female fan connector with 3 holes on a cable from the PUMP. It should plug into the CPU_FAN header. This provides power to the PUMP unit, and also ensures that that header will monitor the pump speed signal for FAILURE and warn you if that ever happens. Then there's a small Splitter box with four 4-pin output sockets that you use to plug in the two FANS on the radiator. From that box there is a female fan connector with four holes that should go to the CPU_OPT header to provide power and speed control of those fans. Changing the speed of these rad FANS is how the system controls CPU cooling; the PUMP motor always runs full speed. To configure these two mobo fan headers see the manual, p. 3-38, and configure each of them the same way: CPU Q-Fan Control in PWM Mode; CPU_FAN profile Standard. This makes use of a quirk of fan design so that the 3-pin PUMP receives a constant +12 VDC supply on its Pin #2 and runs full speed all the time; the rad fans, on the other hand, will have their speeds managed by the mobo CPU_OPT header guided by a temperature sensor inside the CPU chip.
For the ARGB lights part, you do NOT have a suitable header on your mobo for that. The only header it has for lighting is a plain RGB type (manual p. 1-46), not the ARGB type you would need. So you will need to use the manual control box and ARGB Hub that comes with your cooling system. See the Deepcool castle 240 rgb v2 manual, on the bottom right corner. The manual control box has three buttons you use to make settings, and cables coming out of each end. One cable goes to a SATA power output connector from the PSU for light power; the other connects to an input cable from the ARGB Hub. The lighting components of each rad fan PLUS those in the pump unit have their own different locking connectors, and these plug into labelled sockets on the Hub. In the diagram, items 12 and 13 are alternate cables that could be used to connect lighting control signals to the Hub instead of the manual box IF your mobo had such a header. It does not, so you do not make ANY lighting cable connection to your mobo.
When you get to connecting case ventilation fans your mobo has four CHA_FANn headers for that. See manual p. 3-38. Two of the default settings need to be changed for EACH of these headers that you are using. Set them all to PWM Mode IF your fans are 4-pin, but leave any headers for 3-pin fans on DC Mode. Then for all set the CHA_FAN Q-Fan Source to Motherboard so that these fans are guided by the temperature sensor on the mobo, and not by the one inside the CPU chip. REMEMBER after setting fan header configurations to use the Esc key back to main menu, then F10 to get to the Exit menu. (p. 3-53). There choose the SAVE and RESET option to save your new settings and reboot.
IF you have more than four case fans, the best option probably is using simple SPLITTERS, and not fan HUBS - if you need more details, post back here exactly what case cans you have, and how many, so we can advise.