That third wire is the bluetooth antenna. And an airport and BT card should be standard on an Early 2009 Mac Pro (there was no Late 2009 model), so the fact that these are missing suggests you bought this system used, and someone decided to swipe a few parts before sending it to you.

The BT card is on the opposite side of the logic board, so one of the cables should be significantly longer than the others. That's the BT antenna. The other two... I don't recall if they are color coded at all or if they're all just black, but there's only two possibilities for how to arrange them. If one doesn't work, try it the other way.