The manual doesn't say to connect anything to it and doesn't show it on
the product diagram. Although Addendum 2 says to connect it to PSU but
titled as "6800Ultra Card" whereas I have a "6600 Card".
Yes, on any/every video card that has a power connector you
should use one, and "sometimes" it is manditory to get the
card working properly if at all.
If you had a spare video card, perhaps a low-powered PCI
card, it wouldn't hurt to try it instead (removing the
current card of course).
Basically at this point you should strip system down to bare
essentials, the CPU, 1 memory module, video, heatsink/fan.
Unplug all case wiring too and turn it on by shorting the
two PS-On motherboard pins with a screwdriver or similar.
You do not need keyboard, mouse, drives, connected yet.
If minimal config doesn't work, take the board out of the
case and try it on a non-conductive surface... NOT on an
anti-static mat or the motherboard box packing bag or foam
as they may conduct electricity (is what "anti-static"
does). After any such significant change, clear CMOS or
remove battery for 10 min with AC power off.
I presume you have plugged in the motherboard 4 pin 12V
power connector? If all else fails and you need to get
parts refund or replaced, start with the motherboard.