Fan connections

I'm nearly done with my build (first build), using an Asus P6X58D motherboard, Corsair 850w PSU, in an Antec 1200 case.
I connected all of my fans to what Corsair calls a cable for peripherals. It has a bunch of large 4-pin Molex connectors that fit directly with cables on my fans. No problem there. But, at the end of this Corsair cable is a small 4-pin connector which looks like it would fit perfectly with the 4-pin fan control sockets on the motherboard (the ASUS Fan Xpert feature). I can't seem to find any documentation anywhere on what this small 4-pin connector is for at the end of the Corsair peripheral cable. I don't actually necessarily want to control my fans with Fan Xpert, but if I did decide to, would I connect this small 4-pin connector to the mother board or what? My fans all have the large Molex connectors on them (and use only a black wire and a red wire--not all 4 pins). Do some fans come with a small 4-pin connector like the one the motherboard socket is made for? Is that motherboard socket meant to be connected only directly to a fan? Or is it intended to be connected to the end of a cable that all the fans are connected to, as I was describing above?