Almost all recent motherboards will not vary the speed of a 3-pin fan plugged into a 4-pin header. A few years ago the opposite was true... I guess this is progress.
Situation seems a bit different I've recently built a Gigabyte AM3+ board and have no trouble with it controlling fan speeds esp CPU speed. There is an auto and a selectable option for voltage and smart fan option. I've checked up on Asus who were getting quite a few complaints about this and it does appear according to their manuals that they now do support both PWM and voltage control. I know a few years back Asus were only supporting PWM this seems to have been addressed (least the models I've checked out)
Not sure about MSI I have not used one for a while I think Asrock are ok with voltage control as well.