X99 WS-E no power w/o CPU normal?

Yes that is normal, the board cannot start or operate without a CPU.

Actually, in general, when power has been removed completely from a mother board (as it is fresh out of the box) it will take a normal start up of the board before the power LED will glow and remain on, after it is shut off via the power switch or a Windows shutdown. That cannot happen without a CPU in the board.

One thing you can try to see if your board is working, although I cannot 100% guarantee this will work, is to do the following. With your PSU turned on, connect a network cable from an active network source to a network input (RJ45 jack) on the board's IO panel. The two LEDs next to the RJ45 jack may come on and blink as they normally do to indicate a connection is established, and the speed of the connection.

That happens on my ASRock boards after I removed power from the PC when working on it, and I reconnected all the cables and turned the PSU on. The PC's power button was NOT pressed. The board's power LED does not glow at that point, but will remain on after the first press of the power button. Of course I have a CPU in the PC in that situation.

The network interface on a mother board is autonomous, meaning it does not depend upon the CPU to operate. Otherwise features like WOL would not work.