Yes, you should definitely connect a 6-pin PCIe power cable to that connector.
I wouldn't take the risk of not connecting it, when having 4x GPU's installed.
Hell, I only had one GPU (a single GTX 780ti) when I first got my X99 Classified (I have 2x Titan X (Maxwell) today)
and I still used the 6-pin connector with just the single GTX 780ti back then.
Here you can see what could potentially happen if you have only one,
but very power hungry GPU like the Geforce GTX 480 (Fermi) installed:
https://www.youtube.com/watch?v=rnDT3to21KQ He forgot to connect the 6-pin, and the board just couldn't handle the GTX 480's power draw
(Looks like components related to the 6-pin connector burned out, since it wasn't connected).
So yeah, it's especially advised to use that connector in case of 4x GPU's like in your case
(or just a single power-hungry GPU like in that video).
post edited by SuperConker - 2018/09/22 11:52:24