Yeah for H60 I believe the fan goes straight to the board. I don't have that model but with the H80 for example you could connect the fans to the pump housing for control. With your H60 I don't think there's a connection on the pump housing for the cooler's fan, so you've got it ok by connecting on the AIO header. In BIOS (or AI Suite) set it up so you control the fan speed on CPU temperature. That's one of the smaller capacity coolers so I'd recommend you start by being more agressive and using higher fan speeds earlier on the temperature curve. Then you can step back a bit (lower speeds more) if you find it's cooling more than you really need and if you want to lower sound levels of the fan.
CPU_FAN header is right for the pump. If not, you will get warnings from the motherboard that you have no CPU cooling.