As per the manual:
1. pump power cable to SATA
2. pump tach to the CPU_FAN (this is only to register rpm, otherwise you system will warn you)
3. each fan to the 4-pin connectors on the pump (they will get power
Then you connect the the RGB stuff...
The fan speed on the radiator should go up to 2400 rpm, but it will be loud! I don't know the iCUE yet, but maybe you have selected a silent setting somewhere?
The FS_FAN1/2 are max speed headers only, meaning that any fan connected there will run at max speed... 4000 rpm fans are industrial grade ones, you shouldn't need anything like that in a regular/home built. Get some Noctua fans, or - if you want complete silence - go with the be quiet Silent Wings 3s.*