This system can be a bit confusing, and even the Corsair installation video contains an error.
First, the basic concepts behind power and control of this system. There are TWO things to plug in, and both are of the older 3-pin fan type. The cable from the pump unit mounted on the CPU powers only the pump, and it is supposed to feed the full 12 VDC supply at all times so the pump always runs full speed. The fan on the radiator plugs in separately, and it is THIS item's speed that is used to control cooling of your CPU. Hence it is important that the RAD FAN is plugged into the CPU_FAN header, because that's the header that is guided by the temperature sensor built into the CPU chip. Then in BIOS Setup for that header it must be set to use the normal automatic fan speed control profile, and to use the older Voltage Control Mode (aka DC Mode) to do this - NOT the new PWM Mode. NOTE this about failure detection. The CPU_FAN header usually pays extra attention to the speed of whatever is plugged into the CPU_FAN header. If it ever fails to get a speed signal there, it understands that means that all cooling for the PCU chip has failed and it probably is headed for dangerous overheating very soon. So it normally will send you a warning. Some mobos also will wait only a short time, then shut down completely without even waiting for the CPU chip's internal temperature sensor to indicate that overheating has reached a limit. With your rad fan plugged into this header, FAN failure will trigger this process. But a failure of the PUMP will not be detected by this header.
Now that leaves the Pump supply cable. It can plug into any mobo fan header. BUT if your mobo has a CPU_OPT or PUMP header, it is better to use that. That way when you are checking fan speeds you can remember that the speed shown on that header (say, the PUMP header), is really the speed of the pump, and you'll know whether it is working. ALSO note that, if this unit fails to send a speed signal to this header the warnings will be issued, BUT it probably will not take a drastic step and shut you down quickly. YOU will be responsible for taking appropriate action if the pump fails.
Regarding configuration of the mobo header used to supply the PUMP unit, it should be set to run at maximum speed at all times. Now, it happens that his is a 3-pin device, so if your header is configured to use the PWM Mode of control, that will force the pump to run full speed all the time no matter what speed you try to set there, and that actually is what you want.