It came with all the cables except this one. I think they expected the computer power supply to have a molex female connector but all it has is a PCIe connector. Thus I need a cable that has one end with a 6 pin PCIe male connector, and the other end with a 4 pin molex female connector.
The molex or other power source from the main power supply is needed as it acts as the ON switch for the other(video) power supply. Without it, the power supply would power the video cards even when the system was off.
deltavee, What is the make/model of your main power supply?