I figured out what the problem was, here's the deal.
My motherboard can control the speed of fans by two means. First of all PWM, or Voltage control.
CPU_header can work on both ways, and it was set as AUTO at the SETUP. SYS_header can only work with Voltage control.
The thing is, when there's only 1 fan connected to CPU_header, it would control fan speed on both ways, but if using voltage control and the splitter it wouldn't work for obvious reasons.
When I setted CPU_header to PWM, the splitter worked just fine. Not only that, 4 pins doesn't necessarily mean it's PWM, and if not PWM splitter won't work (like my case, splitter won't work on SYS_header 'cause it's not PWM controlled).
Now I've got splitter on CPU_header with 4 fans and another fan on SYS_header and it's all good
One question remains, why the forth pin on SYS_header if not PWM?
From manual:
CPU_FAN: Pin1=GND, Pin2=+12V/Speed Control, Pin3=Sense, Pin4=Speed Control
SYS_FAN: Pin1=GND, Pin2=+12V/Speed Control, Pin3=Sense, Pin4=Reserve
They could've at least wrote:
CPU_FAN: Pin1=GND, Pin2=+12V/Speed Control(Voltage Control), Pin3=Sense, Pin4=Speed Control(PWM)
SYS_FAN: Pin1=GND, Pin2=+12V/Speed Control(Voltage Control), Pin3=Sense, Pin4=Reserve