CPU fan plugged into CPU_FAN1 look correct. As long as both fan and port are 3-pin, or both are 4-pin, it will work perfectly. With this you CAN (and will by default) control the CPU cooler automatically according to the internal temp inside the CPU case. That temp is measured by a sensor built into the CPU chip and read by the mobo.
inzone misunderstands the 3rd and 4th wires on fans. The first two wires are Ground (Black on a 3-pin) on Pin 1 and +12 VDC (Red on 3-pin) on Pin 2 for power to the fan. Pin 3 is the fan speed signal line (Yellow on a 3-pin). I carries a pulse train signal generated inside the fan motor (2 pulses per revolution) back to the mobo for monitoring. However, interestingly, it is NOT used to control fan speed - only to read it (and, in some cases, to trigger a warning if it stops). On a 4-pin fan, the 4th pin carries the PWM signal from the mobo to a special chip inside the fan case that uses it to control the flow of current from the +12 VDC line through the motor.
Actual control of speed is base entirely on measured temperature at some appropriate point, and a setpoint. Whether 3-pin or 4-pin, the basic control strategy is the same. For the CPU, the temp sensor is built into the CPU chip. For the case or SYS_FAN or CHA_FAN, the temp sensor is built into the mobo at some point. In each fan control loop, the measured temp from its sensor is compared to a setpoint and used to slow down or speed up that fan.
HOW the speed of the fan is changed is what differs. On a 3-pin system, the mobo reduces the +12 VDC line voltage to slow the fan down. On a 4-pin system, that +12 VDC line is kept at that voltage always, but the special PWM signal is used inside the motor casing to control how much of the time that voltage is actually turned on to the motor. The chip using this signal is a simple on /off switch, turning on the feed of 12 VDC to the motor and turning it off again, very rapidly at the frequency of the PWM signal. That signal looks like a "square wave", except that is "% ON" is varied (not constantly 50%) to control fan speed.
Thus, a 3-pin fan plugged into a "normal" 4-pin output port will always run at full speed because it has no way to use the PWM signal (and it does not even get it - no 4th wire!). Now, some mobos allow you to set whether the fan you plugged into a 4-pin port was 3- or 4- pin type, and if you say 3, it will change the way the port is managed to make it a 3-pin port with the +VDC line voltage varying to achieve control. In fact, some mobos are so smart they sense this themselves and set their mode automatically. I don't know about your mobo, but read its manual for clues.
The PWR_FAN port is different. It was originally designed to work with some PSU's that have coming out of them what looks like a normal 3-pin fan set of wires. But the real function was ONLY to carry the speed pulse signal from the PSU fan's motor to the mobo to be measured and displayed. It does not actually control the speed of the fan inside the PSU. Now, some PSU's actually do control their own fan's speed, but they don't let the mobo do it. So, the original plan was that, if you don't have those special connection lines coming out of your PSU, you plug nothing into the PWR_FAN port. HOWEVER, apparently on many mobos that PWR_FAN port also has the normal Ground and +12 VDC on Pins 1 and 2. Thus, if you plug into it a 3- or a 4-pin fan, it will provide the full 12 VDC power supply to the fan, running it at full speed, and your BIOS will report that the PSU's fan speed is (whatever that fan speed is), NOT the PSU's fan speed.