Broken cable?

It's normal, provided it's the yellow wire that is missing from Fan header #2.

The yellow wire is the speed report wire that feeds a value back to the motherboard/controller on how fast the fan is going. If you were to have two fans sending a pulse down the cable at the same time I'd imagine it'd get all confused.
 
From the picture it looks like only two wires go to one of the 3pin female sockets(red+balck) so sound and looks normal.
 
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