a bit late of a reply.
What I did was remove the connector on the JCORSAIR to Lightning Connector cable provided by MSI (the 3 wire side of the picture), and also removed the RGB connector on the LL140 fan (the 4 wire side of picture).
Then it's a matter of linking 5V to 5V, Ground to Ground, Data to Data, with 1 unused wire (you can use the connector like i did, or simply twist each pair together and tape them up by pair)