The RGB Fusion software has 2 modes:
1. Sync mode - where the lighting effect applies to all rgb components
2. Motherboard controlled individual header settings - where you can assign different lighting effects to the different RGB strips on the motherboards and the different headers and what is connected to them.
If you are using Option 2, RGB Fusion won't load this until Windows loads in. until windows loads in it follows the Sync Mode settings.
Go into RGB fusion and click on Sync mode on the top left, set this to whatever colour/lighting effect you want (I have mine set to off) between power on and windows loading and Apply. Then click the motherboard picture to go back into the individual header settings.
Now when you start up it will show colour settings you specified in the sync mode until windows loads in.