Ignore that stuff about 3-pin and 4-pin fan headers and PWM and DC control. All of that relates to the fan MOTORS. What you asked about - the VDG Cable - is for the LIGHTS in the fan frames. And unfortunately, confusion is normal here!
Fans containing lights in their frames come with TWO separate cables normally - one for the motor only, and a second for the lights only. There are two types of fan motors, and they often are identified as either 3-pin (older) or 4-pin (newer PWM design). Among lighting systems, there also are two dominant types: plain RGB (uses connectors with 4 holes and pins) and Addressable RGB (or ADDR RGB or ARGB or digital RGB), which use connectors with THREE pins - looks like the 4-pin system, but with one pin missing. Well, most ARGB connectors look like that BUT a less common one is for exactly the connector you have marked VDG. That adapter cable you linked to on eBay converts from one type of VDG connector with 3 holes to the more common (3-1) type.
For the LIGHTS, besides the difference in connector holes there is a huge difference in the voltage supply used and in the methods of display control - that is, the types of signals each system uses. The result is you can NOT mix lights of one design with lights or controllers of the other type, And UNFORTUNATELY, you have that problem. The lights in the fans you have with a VDG connector are the ARGB type, BUT the only lighting header on your mobo is the OTHER type - plain RGB - with FOUR pins - see your mobo manual, p. 15, item 7. (Actually, that header also can be used with a rare five-pin type.) So there is NO header on your mobo to provide power and control to the lights in your fan frames.
You can run those fans just fine with NO lights if you simply do not plug the 3-hole VDG connectors in anywhere, and only plug in the fan motor connectors to fan headers. If you want lights, you need either different fans with plain RGB lights in them, or a third-party ARGB lighting controller.