I'd say - start by validating everything, step by step. Here's roughly how I'd go about it (I'm assuming each step goes to plan)
CPU in board, fit heatsink, add RAM, do a "test POST" outside of the case (commonly done by sitting the board on top of the box).
After confirming successful initial POST (may take a while - like, 15m or more - because you have a lot of DDR5 in this build), fit heatsinks to SSDs and install them, confirm they are seen by the system
Update IPMI and UEFI to latest firmware versions
Prep your case, install fans, drives, PSU, pre-route your SATA cables, etc etc.
Do some basic validation of the hardware stability eg run MemTest86 overnight (at least). Try using eg
some stress testing routines off a linux boot drive
Once you're happy the core hardware is basically functional, install board, connect your drives, check they are seen. Install NIC, GPU, use your bootable linux USB to check your GPU is seen and functional
Now you can install Proxmox, do your updates, set up your repositories, etc
OPTIONAL:
Pre-test your new drives with the badblocks command
Now you can set up hardware passthrough for your SATA controller(s), set up your VMs (inc TrueNAS) and start moving data over