Check my last post as I added to it.
No, put the GPU in as well. connect all the pieces just as you would do if putting it into a case. No point in look for trouble when there probably will be none. If you run into an issue then work backwards by removing nonessentials one at a time. But CPU and cooler, RAM, system drive, GPU are the essentials.
One thing, by default your RAM will not initially run at it's rated speed. It will run at the 2133 or 2400 which is the platform baseline memory frequency. After installing Windows you will need to go into bios and choose the XMP (aka, AXMP) RAM frequency setting.
After booting into Windows the first time, the first thing I would do would be to manually check for Windows 10 updates. There likely will be a bunch of them and keep checking after each round. Don't trust the message, "Your system is up to date". Often there are still more updates when it says that. Get that out of the way because otherwise your system will be trying to do that in the background when you are trying to work on other things.