I think what is saying is:
a) make sure you do plug it in
b) make sure you plug it in in the place where it's going to do the most good.
I didn't read the whole manual to get an understanding of how all the fan stuff works but realize that all these fans give feedback to the BIOS vis the on board temp sensors or the thermal sensors provided with the MoBo. Seems the BIOS has "hard wired" CHA-FAN 1 to be the main chassis fan which when the BIOS receives a signal saying MoBo sensor is too hot, it's gonna speed up that fan.
I don't recall the manual to well from last Friday but my guess is it wants:
CHA_FAN 1, CHA_FAN 3, CHA_FAN are all controlled by "built in" sensors that are gonna speed up these fans is it senses hi case temps.
OPT_FAN1, OPT_FAN2, OPT_FAN3, my guess is works with the thermal sensors provided so maybe you sticking them on vid cards and HD and should place the fans / connections accordingly.
The PWR-FAN my guess is an auxillary power supply fan connector.