That little device is the optional fan hub, which will power your case fans.
It uses a standard molex connector to power up to ten fans or 30W. Unfortunately, the hub does not give fan control and will have all fans running at 100% RPMs.
You can lower the fan speed natively by using a voltage adapter between the molex and the hub.
You may connect the hub to your motherboard, but we strongly advise against this and will not cover any damage resultant of connecting the hub to your motherboard headers. Motherboard headers cannot support more than 1.5 watts per header in most cases, much less than what would be required by the hub.