According to Reddit in a thread the MSI EZ Debug BOOT LED means:
"The boot device is the storage drive with your OS on it - the one your system boots from. If you don't have an OS installed, there's no boot device."
So once you install Windows on your SSD or HDD the BOOT LED should turn off.
But your problem is you don't have any video at all so you need to make sure your GPU is properly install and connected.
Plus how do you have your Monitor cable connected to the GPU card?
I don't see any Video cables connected to your GPU card with power on?