The BIOS will normally look for a bootable drive starting at the first SATA port.
Obviously you do not have a op system installed yet and therefore it should look for a bootable disc in the DVD drive.
Older versions of windows gave the message "Press any key to boot from CD".
This is looking like the BIOS is not detecting a bootable disk in the DVD drive or ignoring the DVD drive.
Have you got an old DVD drive you could substitute?