That's for the Phanteks case's LED lighting power. Connect that plug in one of your PSU's SATA power cable (the ones you also use for the HDD/SSD power) that looks like this:
It *might* not be required to be plugged to boot (but it may disable some front panel functions - esp. the LEDs). But, most likely, if you don't plug it in, you'll just have the LED case lighting disabled. Still, to be sure, just plug it in.