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As we understand, you are installing an Intel® SSD 750 Series 2.5in to your Asus Z170 ROG MAXIMUS VIII EXTREME, and you would like to know how you need to connect the 3 connectors in the U.2 cable.
The 3 connectors are required for the SSD to work. In one end there is a MINI SAS HD that connects to your motherboard, on the other end of cable, you will find the SFF-8639 connector that goes to the SSD, and also a SATA power connector that must be plugged to a SATA power cable coming from the Power Supply.
Here is an external video that clearly illustrates this. The motherboard in the video uses a M.2 to U.2 adapter, however, your motherboard has built-in U.2 connector:
*NOTE: This link is being offered for your convenience and should not be viewed as an endorsement by Intel of the content, products, or services offered there.