alright, you have clear my concern,
there is no magical trick on connecting the molex head from the controller to the PSU
all you have to do is simply join the two molex together.
and the molex with two pin you mentioned is purposely made,
so, it sounds like you may have a defect controller or a controller was improperly attached for smoke to appear.
For safety concern, please don't use it and contact our customer service team immediately to get a replacement, thanks.