If you have everything going through this ...


... then you will definitely have issues because of this ...

... particularly if you are attaching this initially to a 4-pin PWM MB header. There is no way to send and control the 4th PWM pin through those 3-pin headers. In fact, that controller was never meant for PWM fans as it only has 3-pin headers.
AFAIK to make that fan controller work properly, attach it to a 3-pin MB header using a 3-pin cable (any 4-pin header without the 4th pin attached). That way you would be using analog voltage control instead of the default for 4-pin headers which is Pulse Width Modulation (e. g. PWM or digital voltage control).
If not, then contact someone at their tech support and good luck. Images are cropped here, open them in separate tabs to see all.