I have plugged all of my fans direct into the PSU (Dark Pro 650w), the PSU RPM control is plugged into system fan 3.
However when I power on all of my fans are spinning except the biggest fan at the top of the case (think its 200mm). It definitely has power because when I power on it spins for s few seconds then stops. (occasionally does a few jerky movements but not spinning on.
The PSU is reducing the voltage through the fan cables so whether you use the fan or molex connectors they may not provide enough power if the sensor decides that there is no heat/load to justify it.
The Zalman 4 in 1 connector will provide 12v through 2 cables and 5v through the other 2. Unless the fans can be powered by 5v then they won't spin up reliably. Not many fans will start with just 5v although better quality ones will.
I would initially plug the fans into the motherboard. You can generally use fan splitters if you don't have enough connectors but your motherboard manual will indicate the safe load.
If you find them too noisy then they can generally be controlled through the BIOS or in the case of the Antex through switches for the resistors fitted somewhere on the case.
A Zalman fanmate will also allow you to vary the speed or you can fit resistors. The fanmate and resisters are available from the QuietPC site I linked to. However it's a lot cheaper to buy resisters from somewhere like Maplins and either solder them in yourself or use connecting blocks. They don't look very neat like that though.