All those connections look fine, the fact that the PC does something when you press the button does indicate that the connector is connected properly.
What I would do now is disconnect the SATA cables from your motherboard, keep the graphics card out and use one stick of RAM, see if it does anything then. If this doesn't help try the other stick of RAM. If you still get nothing, try clearing the CMOS (unplug PC and remove the little battery on the motherboard for 30 mins, then put the battery back and try again).