The case lighting cable should go into the controller on the back.
The cables from the pump are power and rgb. The 4 pin cable should go into a header on the motherboard with a marking like high amperage or pump. The rgb cable should be going to the motherboard as well.
Normal desktop cpu are designed to be at the maximum turbo clock(4.9Ghz) if the temperatures allow it. If it is not a that speed it is already throttling.
On a gpu die it is way more important to cover the full die than with a cpu, that is why you normally would use a shit ton of non conductive paste and just let the paste spill over the edge of the die while tightening the cooler
Xmp stands for extreme memory profile. It basically is an "overclocking" profile that has tighter timings and faster clocks than the standard profile. It is almost guaranteed stable on your computer.