The 5800X does not have an IGP, so connecting the display to the motherboard will not have any output.
What motherboard do you have and what BIOS version? Does the BIOS meet the minimum version for the 5800X?
Ryzen R7 5700X | B550 Gaming X | 2x16GB G.Skill 3600 | Radeon RX 7900XT
Ryzen R7 5700G | B550 Gaming X | 2x8GB G.Skill 4000 | Radeon Vega 8 IGP
Ryzen R5 5600 | B550 Gaming Edge | 4x8GB G.Skill 3600 | Radeon RX 6800XT