The sideband cable should have a red line on one side, that indicates the side with Pin 1 on it. The header on the backplane has a white print on one of the corner of the header, that indicates Pin 1. To connect the cable, match Pin 1 with Pin 1.
The cable is optional if you are using SATA drives, since the LED activity is controlled by the drives itself and the cable is only used for locating the drive. If you are using SAS drives, you will need to connect the side band cable to see LED activity.