Welcome to the forums! I will be happy to help you out on this and see if we can get those LEDs to power up.
To start things off lets make sure there is not a problem with the LEDs on the fans themselves. To do this can you connect the controllers to the PSU using the provided molex connection. This will provide sufficient steady power to rule out the variables from the fan headers themselves. If you are able to have all the LEDs turn on from there then we know that the controllers and fans are good to go.
From there once you have verified that the LEDs on the fans can power on, can you advise what power setting you have for the system fan headers in the BIOS? I have seen that sometimes if the BIOS settings for the fan headers is set to low then the controller is not provided with enough power to light up the LEDs themselves. If this is the case then you can always set the fan header to receive more power so that the adjustments will be made through the controller and not the fan header. One easy way to tell without going into the BIOS is if the fans are set to low speed and they seem to be hardly running or shut off then you will most likely need to make some changes in the BIOS for the fan headers. Hope this helps you out on resolving the issue. Let me know if there is anything else you might need some help with.