The PWR_FAN port on a mobo is intended for a special purpose. Some PSU's have wires coming out to a common 3-pin fan connector. Their real purpose is to feed the speed signal from the PSU's internal fan back to this mobo port for monitoring and display. That fan is NOT powered or controlled by this mobo pinout - only the speed signal is used. If your PSU does NOT have this connector (and many do not) you simply do not connect anything to this mobo port.
However, posts elsewhere in these fora indicate that some mobo ports like this actually do have all the normal wiring of a 3-pin fan connector and so it CAN provide power to a case fan. However, it has NO ability to control that fan's speed so it will run full speed all the time, just as if it were plugged into a PSU 4-pin Milex power connector.
Most often a case fan should be connected to one of the SYS_FAN ports on the mobo. At least some of those (maybe all) can be configured to vary fan speed according to temperature actually measured by a sensor built into the mobo.