The HP Z800 has four drive sleds accessible through the side panel. You can drop in a 3.5" drive and slide it in and it plugs into a SATA port at the back. These ports in turn go to four cables that can plug into the SAS or SATA ports on the bottom of the motherboard. Unfortunately the LSI controller in the Z800 is old and does not recognize drives larger than 2 TB, so I wanted to replace it with a newer MegaRAID card. I got the card and a SATA fan-out cable from Newegg and ... oops.
As others have discovered the blind-mate cables coming out of the drive bays are the wrong gender. HP claims in this service guide that there is a "MiniSAS 4i to 4x internal cable" which appears to be part #536886-001. The catch: the picture in the service guide shows what appears to be at least a 50 cm cable but the actual Molex cable is very short as well as being very pricey: $50 list price.
My first thought was to just plug the 50cm cable directly into the back of the drive bays. But after I took apart the workstation last night I discovered that these ports are essentially hard-wired. You can plug them into the motherboard but you cannot replace them. Your only choice is to adapt them with a gender changer or maybe get CS Electronics to build you a cable. I ordered the 4 Dalco adapters and will see how they work.
Update: the Dalco gender changers did the trick and I am up and running with 3TB triple-mirrored and compressed. I expect it can store 10 TB of compressed data, and if I lose a drive I can just swap it out for $100 (or 0.392 BTC at current prices) over at Newegg.com.