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It does, but there are currently memory compatibility errors which should be fixed imminently, currently memory made by Hyinx doesn't work but Samsung does. AMD released an AEGSA update to the board partners a few days ago which should fix it.
Yes it is compatible with DDR4 2666Mhz memory. In fact if you get memory based on Samsung B-die, single ranked DIMM's (usually 8GB or less per dimm) it will likely easily run up to at least 3200Mhz without issue. G.Skill Flare X 3200mhz c14 kits for example. Though officially, according to AMD documentation, the max supported RAM speed is 2667Mhz with a 2x single rank DIMM's, dual channel kit.
Did you buy a HyperX Fury, or HyperX Savage kit? HyperX Savage, going by their cas13 rating are most definitely samsung B-die, and should easily boot at 2666mhz. On the other hand the HyperX Fury, all seem to be cas16 parts, most likely Hynix based, which Ryzen currently has problems with. These will most likely not boot at speeds higher than 2400mhz, if you're lucky, they may even be stuck at 2133mhz. It really helps if you have the little beep speaker plugged into your motherboard. When you attempt to power on, your system should be giving you a beep code, then resetting, and giving you a the same beep code again, etc. It will do that up to 5 time usually before it boots, usually with the RAM at its lowest speed. That's AMD's memory training for the CPU, testing and going through the rams speed steppings. The issue comes down to the Ryzen CPU's memory controller currently using command rate 1T. Most DDR4 Ram is speed rated for command rate 2T. So in general the only RAM that will run above minimum speeds, is usually the higher end ram, which have lower cas latency ratings.
Hopefully the new agesa code based BIOS updates will allow people to select command rates, to improve ram compatibility.. Otherwise I don't see the situation changing too much.