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5 pin connector recommendations that have both male and female sockets available
(self.askelectronics)
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You could use XT60 connectors and connect together the ground pins
Sorry, my original comment was poorly written. While they do lead to earth, there is a mosfet in between each that receives a unique PWM signal. See the edit for more details.
You could use something like a dsub connector with larger current carrying pins (more expensive) or a more regular connector (e.g. 15 pin dsub) with multiple pins for supply/high current.
Regular rectangular headers can handle anywhere from 1-5A per pin depending on the connector so you might be able to get away with a 2x4 rectangular header (maybe a few more pins in parallel for everything just for insurance)