Hmm I have the same board and just put my computer together yesterday.
I have 1 - 120mm Yate Loon in the rear of the case and 1 - 80mm Logysis in the front, both running directly off the PSU. However the 80mm fan is quite loud, so I think I am going to try running it through the SYS_FAN to see if I can lower the rpms.
So to try to answer your question - I think you can connect the fan to either, its just that if you go straight to the PSU you wont be able to adjust the fan speed (not that Im certain you can going through the mobo).