I just installed the same one, I used the controller that came with it, I didn't bother to try on the RBG header on the MB. If you power up the controller with the molex connector and hit mode it should cycle through the different colors.
I haven't looked at the spec for the power requirement for the RGB connector but your MB should output at 12v, where I think the RGB for the W4 is 5v. So you have to use the controller that comes with it. If it is not switching colors than you could have possibly damaged it using the MB header, or it's just a fluke and you have a bad one. Either way see if you can get it replaced under warranty.