Bugger, I'll just connect my CPU fan to the 3 pin Chassis fan I guess =\ but controlling speeds might get a little interesting, as there won't be a direct between fan speed and CPU temperature.
Or would it be better to just run MOLEX 4P off the PSU?
3 pins work in 4 pins. You just don't get that PWM. Don't run it on molex unless you have to.
Also, you should have no problems with running without anything connected to CPU fan header. Both my motherboards that I've used have been fine with that.