I'm in the exact same boat. I have everything setup correctly in iCUE as far as what devices are connected to my copro's, yet the "Rainbow Wave" effect in iCUE is different than if I simply close iCUE and let all of my LL fans go back to their default setting. Without iCUE running, a rainbow wave travels throughout all of my devices connected (14 LL fans, chassis lighting on 1000D, and Vengeance RGB Pro RAM). With iCUE running, no chosen effect replicates this, and instead each device has its own rainbow wave travelling within the device's own LEDs.
I don't see why the default setting isn't available since it's clearly a programmed effect, and thus to have the effect I can't have iCUE running, so I simply open iCUE to set my fan speeds, then close it. This isn't a huge deal but definitely defeats the purpose of the software.
Additionally it sucks because I want to buy the MM800 RGB Mouse Pad, but by default it does the spiral rainbow effect, not the rainbow wave. To get the rainbow wave with the mousepad I would need to have iCUE running, but then I wouldn't get the sequential rainbow wave on my other devices. It also begs the question of why the default for the RGB strips, chassis lighting, LL fans, and RAM is a sequential rainbow wave, but for the mousepad it's the spiral rainbow effect. Why aren't they all the same default at least? This could all be alleviated if the mousepad default firmware could be overwritten (a common complaint it seems).