You must populate the CPU_Fan, or you'll likely have boot issues (or overheating issues - it won't know there's a fan connected, or that it's connected to the CPU).
I haven''t used a Kraken x61 myself, but if there is only one connector - connect to CPU_Fan. Most AIO liquid coolers have one connector (sometimes a second fan & second connector, so then you would use either CPU_Opt, CPU_2 etc - I would assume that's what is named W_Pump on your board).