If you did want to modify the connector, just look at how the key lines up with the connector on your fan and cut the side that overlaps with the fan's connector so it fits. Some PWM fans are known to not run well when voltage controlled, but generally there's nothing wrong with it--they will run that way. Just note that they may not be able to reach the minimum speed that's achievable via PWM.
I guess the biggest issue would be voiding the warranty, which (if it came with the case) would void the case's warranty, too.