It varies. There are at least three types of lights involved.
Simplest ones are LED lights that can NOT be controlled in any way. They have a power input connector most likely to be from a PSU output of the SATA or 4-pin Molex type, because there is no need to connect to a mobo header. They may NOT change at all, OR they may change over time because of their own built-in controls, but you cannot make any changes. This is likely what your case has.
Next are lights that CAN be controlled either manually, by a programmable Controller module (maybe built-in) you configure with some manual box, or by a Controller that is configured by a software utility running under your OS. BUT some of these do NOT use standard connections or connectors on their cables, so you must use the Controller system provided with them and make specified connections NOT on your mobo.
The much more popular type have the SAME design AND connectors as current ARGB or plain RGB lights (either strips of built into fan or pump frames), so they CAN be connected to a standard mobo lighting header of the correct type for power and display control. For this type you would use a software utility provided with your mobo to make configuration changes.