Doesnt really matter but you should connect it to the closest fan plug on your mobo. If you ever go into the mobo BIOS, you will notice that fans are usually labelled somehow to help distinguish them. This helps you determine which fan the BIOS is talking about and whether it is functioning normally.
No, it shouldn't matter where they get plugged in. I think the mobo should throttle them all simultaneously, as it wouldn't really make sense to, for instance, speed up the front but not the back fans.
All that matters is that you save the CPU fan plug for the actual heatsink fan