Somebody please explain to me what is happening here

First the easy one - LED lights. The case has its own control system for LED lights. Power to this control and all LED's connected to it is provided by ONE connector from the case that must plug into a SATA device power output connector from your PSU. This does NOT connect to your mobo in any way.

The cooler system for your CPU chip (fan or water cooler system, whichever), should be connected to your mobo's CPU_FAN header. Follow the instructions that come with your cooling system.

For case ventilation fans you have two options. You can connect them all to the male 3-pin fan output cables that come from your case's fan controller module. Then the single 4-pin Molex connector from that module plugs into a female 4-pin Molex power output connector from your PSU. In this choice you would NOT connect any fan or any other connector to your mobo's CHA_FAN headers. All fan control would be done by YOU manually using the case's control panel.

The other option is to ignore the case's fan controller and connect all your case fans to mobo CHA_FANn headers - there are four of them. If you do this and set them properly, the mobo will automatically control the speeds of all these fans according to a temperature sensor built into the mobo. In this choice you will NOT connect any of these fans to the case's controller, and you won't need to connect that Molex power supply connector to the PSU.

If you choose the second option (mobo automatic control) you will not need to do any control of the fans yourself. However, you need to make a couple of configuration adjustments for each of the four CHA_FAN headers to ensure that they do the job properly. Follow these steps when you start up your system.
1. See your mobo manual on p. 3-2. To enter BIOS Setup, hold down the "Del" key as your system starts up, until the opening screen of Setup appears. See p. 3-3. At bottom right of the screen, see the prompt to hit the "F7" key to go to Advanced Mode (p. 3-4). Across the top menu of choices, click on "Monitor" (see p. 3-46).
2. Skip to p. 3-48 under "Chassis Fan 1/4 Q-Fan Control". You need to set this mode for each fan header in use, according to the type of fan plugged into it. For 3-pin fans, set it to "DC Mode". For 4-pin fans, set it to "PWM Mode".
3. Next item down, "Chassis Fan 1/4 Q-Fan Source" should be set to "MB" for all these headers, so that the control is based on the MotherBoard temperature sensor.
4. Two items down, "Chassis Fan 1/4 Profile" should be set to "Standard" so that the normal automatic control system is used for each fan header.
5. Back on p. 3-46, note the prompt at bottom right to hit "F7" to return to the EZ Mode.
6. Back on p. 3-3, see the prompt at bottom right to hit "F10" to SAVE and EXIT. See p. 3-60. Here you choose the option "Save Changes & Reset" so your adjustments are saved, and the system will reboot.

Doing this will ensure that all your case ventilation fans connected to mobo CHA_FAN headers are controlled automatically according to the mobo temperature sensor.