Role of the counter/auxiliary electrode in cyclic voltammetry
You are right that the counter electrode must balance the redox reactions happening at the working electrode.
For every electron that goes to reduce an $\ce{Fe^3+}$ ion at the working electrode, an electron must be collected from an oxidation reaction at the counter electrode.

What that reaction actually is depends on a lot of things.
First, we must consider what is actually in the solution to oxidize at the counter electrode.
In an $\ce{Fe^3+}$ solution, unless the working electrode is very close to the counter electrode, the newly formed $\ce{Fe^2+}$ ions will not diffuse efficiently to the counter electrode, so something else must balance the bulk of the current.
In many aqueous solutions, this might be the water itself being oxidized, unless there is a more easily oxidized substance in the solution (a supporting electrolyte, for instance).
If the counter electrode material is chosen poorly, it may even be the counter electrode itself oxidizing.

In practice, electrochemists often design cells such that the reactions at the counter electrode are unimportant, perhaps by placing the counter electrode in a separate vessel connected with a salt bridge, or at the least assuring that potential counter electrode products will not interfere with the reactions at the working electrode.