There are two SATA cable, which one should we plug?

Recommend to plug both on different SATA cable, as close to the PSU as possible, do not connect other device to the same SATA cable.

How to set fans to PWM mode?

Go to Fan / Pump RPM page and turn on MB mother sync

Which controller shall I connect?

All UNI FAN SL-INF 120 / 140 and 120/ 140 reverse blade supports the same SL-Infinity controller.