How does the adapter connect to the case fan? The 4-pin molex that would normally connect to the PSU is also male. Thanks

This adapter is not designed to plug a case fan into a molex from your power supply. For that purpose, as you stated, you would want a 3 pin male fan plug to 4 pin male molex adapter (they do exist). Older computer cases often had fans with back to back male/female molex plugs that would piggyback on molex powered devices (usually the CD or hard drive). With this adapter you can power this type of fan by plugging it into a 3 pin header on your motherboard or a 3 pin fan power cable from your power supply (if so equipped).