The fan speed switches on the front panel are already connected to the pre installed fans. Do I need to plug these into the mobo somehow or are they okay plugged into the switches alone? There is a double-sided plug that goes up to where the USB ports and fan speed switches are on the front panel. It has four prongs inside on one side,and on the other side it has 4 holes that prongs would go into. Is this for the power supply?
Yes, the large 4 pin Molex from the fan controller is suppose to connect to any matching Molex from the PSU. It feeds the fan controller. The fan controller, in turn, feeds the individual fans as you have noted.
No, you don't connect anything pertaining to the fans to the MB fan headers. They are for fans that are not controlled by a fan controller.