New power supply is always a suspect in an all new system. Can you swap in another one for a test?
Sorry but must ask, is the eight pin CPU power cable connected at the top of the board?
If you did start to POST, you should see POST codes in the Dr Debug display.
Many boards when powered is applied for the first time or after power is removed for a while and restored will not light up the power LED for some reason. Very annoying and does not help diagnosing power problems.