You are correct, I checked with motherboards user manual and it was showing that the CPU LED connector must be installed in a certain way - the connector has an arrow on one side and that side must be aligned with the orientation shown in the motherboard. Now all LED s are aligned - but all are blue ( as my case had 3 blue fans in it.
Now I want to set only the CPU LED color to red, but this is not possible. Not possible in BIOS and not in RGB Fusion app.
I have also downloaded and installed LED tool I mentioned, but it did not work - as the cooler was not detected as Wraith Max ( that cooler has another cable for management purposes ).
Looks lik ethis is as good as it gets.