It is an EU thing to save energy when your computer is turned off simple answer.
I turns off power to even the USB ports.
Google
ErP Support determines whether to let the system consume less than 1W of power in S5 (shutdown) state.
When the setting is enabled, the following four functions will become unavailable: PME Event Wake Up, Power On By Mouse, Power On By Keyboard, and Wake On LAN
 
What is ErP EuP ready power supply?
ErP/EuP, stands for Energy Using Product, was a provision regulated by European Union to define the power consumption for the completed system. ...
To meet ErP/EuP standard, the ErP/EuP ready motherboard and the ErP/EuP ready power supply are required


What is EuP mode?
EuP Mode. Energy-using Products (EuP) is a directive designed to improve energy efficiency of electrical devices, reduce use of hazardous substances, and improve environment-friendliness of the product.


I do not enabled it on any of my computers.
Most newer Motherboards have this settings now. 

The ERP setting just makes it so the board completely powers down, acts like the power switch on the PSU has been flipped. I actually use it as it would leave the lights on my keyboard turned on when the system is off. With ERP enabled all connected USB devices get powered down. Only Oddity with that setting is that on the first push of the Power button the board powers up, once the LEDs on the board are on you have to push a second time to boot.
 
Looking at the picture of you PSU Corsair used the same plug and pin out for PCIe/VGA and EPS connectors on the PSU end. You just cannot use an EPS cable in an PCIe port on the motherboard or GPU as that end is pinned different, and the revers as well (no PCIe/VGA in the EPS socket)
 

 

Look at Page 50 of the Manual / PDF - gives a layout (image below) - This board only has pins for 2 FP LED's - any other FP LEDs you just leave disconnected
This is from page 23 and refers to Item #26 of the image on page 14
 

26. Front Panel Connectors
The Front panel connectors are the four main chassis connections. These include the Power Switch, Power LED, Reset Switch, and HDD LED. The Power and Reset switches are both designed to use “Momentary Switches,” rather than “Latching Switches,” which means the connection between the two posts needs to be made just briefly for it to work, as opposed to being held in place. This is why the Power and Reset switches can be triggered with a screw driver by simultaneously touching the + and - posts.
Power LED will power on with the system, indicating the system is on and can blink with CPU activity.
HDD LED will blink during access to the SATA ports; this is not activated for M.2 SSDs.

 
As you can see - M.2 drive activity does not activate the HD LED, only SATA drives do