PWR_FAN does NOT have "thermal control".
Fan pinouts on mobos come in either 3-pin or 4-pin varieties. On the 3-pin, one is Ground, one is the +12 vdc supply to the fan, and one is the fan motor speed signal FROM the fan back to the mobo. The speed signal can be used by the mobo to read and display the speed to you; it may also be used by BIOS to trigger an alarm action if the fan speed falls low. On the wires going to the fan, usually black is Ground, red is +12 vdc, and yellow is speed. When the fan's speed is under control by the BIOS, it will change the voltage supplied on the red line to set the speed. A 4-pin connector has these plus another pin for a different type of fan speed control that is used INSTEAD of the varying voltage supply on the red line. The connectors are arranged so that, whether you have a 3- or 4-pin connector on the wires from the fan, both will fit, and only in one way so that black, red and yellow always connect to the right pins, and the fourth pin is used only by 4-pin fans.
It's common to find four (occasionally, five) fan pinouts on a mobo - yours has three. One is the CPU_FAN, to be used ONLY for the CPU heatsink fan. It is normal to have the BIOS control this fan's speed, based on a temperature sensor built into the CPU. Often it also uses the fan speed for emergency action - if the CPU cooling fan appears not to be running, it will shut down the entire computer to prevent rapid CPU overheating that could damage it permanently. If you have chosen to use a third-party CPU fan driven from a Molex connector so that there is no fan speed signal going to the mobo pinout, you may have to change options in your BIOS to ignore that fan speed signal (non-existent) and not try to take this protective action.
The pinout called PWR_FAN is ONLY for a connector on three lines coming out of the PSU. If your PSU does not have this, then don't connect anything else to the pinout. Is sole purpose is to give the BIOS a signal of the speed of the fan inside the PSU, just so it can be monitored, displayed, and possibly used as the trigger for an alarm. It does NOT supply voltage for the fan, nor any control of it.
The SYS_FAN1 pinout is for a case fan, with signals just like the ones on the CPU fan pinout. The difference is that its speed, IF controlled by BIOS, is based on a temperature sensor in the mobo, not in the CPU. And of course, failure of this fan is not going to trigger a drastic response of complete system shut-down.
A SYS_FAN2 pinout may also exist also for use to power a case fan. Its speed may or may not be under BIOS control, and if it is, the control may or may not be guided by the mobo temperature sensor. These details vary by mobo design.
Some mobo's have a NB_FAN connector for use with a cooling fan dedicated to the Northbridge chip. Its control is based on a temperature sensor in the Northbridge chip.
In the BIOS for each fan (except PWR_FAN) you usually have options for how fan speed control is done. Typically you can use the available automatic control based on a measured temperature, or you can set the fan to a fixed speed at all times, or you can set it to full speed always. Sometimes you have the option to ignore the fan's speed signal (do this if you do NOT have a fan connected to this port). Sometimes you have customization options for how the fan speed responds to specific temperatures, and how the BIOS set off alarms for slow or zero fan speed.
Since the PWR_FAN port normally does not provide any power, don't use it for a fan. Likewise, since the CPU_FAN connector's signals are so vital to safe CPU operation, do not use it for anything else. The SYS_FANx connector(s) are for case fans. Technically you might use a NB_FAN connector for a case fan as long as you realize that the mobo does not know what you've done. This means probably you should set it to always full speed; if you let it send out alarms based on fan speed, you will have to remember that it is NOT the Northbridge Fan.
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