According to the technical specifications supplied by Intel, you are not using the proper power supply for that board. Section 18.104.22.168...
This board requires a TFX12V or SFX12V power supply.
According to the specs for TFX12V PSUs, the smallest is a 180 watt unit. According to the specs for SFX12V PSUs, the smallest is a 160 watt unit. So, although your choice power supply comes with an adapter to fit it into the required power connection, it may not be powerful enough to power that particular board.
EDIT Upon further examination of the tech specs doc (and re-reading your question), I find that this board does not have a Piezo speaker mounted to the board, but rather just a header to which you could connect one. Without having a stick of Ram in the unit, it would normally just produce a beep error code to indicate there was no Ram. You would not see anything on a connected monitor to accompany this. You would just hear a beep. You also say there is no memory installed. So, try installing a stick of Ram and powering the unit.