Does CPU fan need power connector?

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I've just replaced the Tuniq standard fan with a Scythe S-Flex. Does it need to be connected to a 4-pin molex connector? The Tuniq fan wasn't and didn't have the option, but the Scythe has the connector. Shoud I connect it, or does it make no difference?

 

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Anyone know?

 

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What is the point of the 4-pin molex connector generally then? Should any fan that has a 3-pin connector just go straight into an available 'aux fan' motherboard connection without the need for the molex connection? Is it an either/or situation rather than a need for both? I wondered if it affected the fan speed or something.