Same issue here, only installed the cooler today. LEDs on the fans work, just not on the pump.
I've forced an update of the firmware and also updated to latest version of icue, still isn't working.
Motherboard is an ASUS STRIX Z270F so not an MSI like the above.
Also tried trouble shooting of uninstalling, running ccleaner, restarting and re-installing and this didn't fix the issue.