I'm using RS2WC040 raid controller connected to S1200BTL motherboard.
I connected 3 SATA drives using SFF-8087 mini-SAS cable - directly no backplane.
(SFF-8087 cable breaks to 4xSATA + 1xSGPIO)
I'm not using backlane so I shoud leave SGPIO cable unconnected - or connect it to S1200BTL motherboard sgpio header ?
Wikipedia has a good http://en.wikipedia.org/wiki/SGPIO article on SGPIO. There is says SGPIO is an acronym for Serial General Purpose Input/Output which is a 4-signal bus used between a host bus adapter (HBA) and a backplane.
Since yiou have no backplane, as Edward said, leave it unconnected.