Finally I have the solution:
TLDR; ENABLE CSM in the BIOS
Longer Report
This was a complete pain, and has cost me £250 in extra notes - wasted. More than that I spent 3 days on this with unsuccessful help from Gigabyte and not much research material on t'internet. In the end, it was a combination of factors, and a hint from a posting to check CSM mode. Who would have thought eh?
I purchased the KF (non internal graphics) series to save a few quid. I also prefer to run a cheap discreet GFX because it can help with OC and temps. The saving of a few quid appeased the mrs, but in the end cost me more
Using the specs as shown in the opening post I attempted to build this rig. It was easy to do but failed to boot. Initially I suspected the KF to be at fault and to a degree it was in that it hindered the resolution of the problem. This created a classic catch 22 in that I needed to go into the BIOS to check settings to enable the GFX cards but in order to do so, I have to enter the BIOS via the iGPU first, and as there is no iGPU on the KF chip I was stuck in limbo land.
During the continual testing and replacing of parts (everything from RAM, to NVME, to PSU, to coolers) I had managed to damage the mobo. My fault, hands up, sorry for wasting your time Gigabyte (who's Roy and Moss line is "have you bent the pins").
I ordered a new motherboard and the same fault appeared. This led me to believe that I did need to get into the BIOS and the only way to do that was with a chip with iGPU. I located the cheapest I could find that would work with this board - a G6400.
That chip worked but only when no GFX cards were installed. If a card was installed on any of the slots the boot would fail. The only way to boot / get into the BIOS is with the iGPU and no GFX inserted at all.
Next I tried updating the BIOS, incase there was a flaw with earlier versions. I installed the latest (ironically dated 1st April) and that had no effect on the problem.
Once in the BIOS I tried various options: Setting Graphics to onboard / external / auto. I tried other others connected with PCI / PCH all to no effect.
After prompting that CSM could be the issue I ENABLED that option. I then plugged in the R7 250X and it booted perfectly.
Summary
This was a wasted weekend and I am disappointed that Gigabyte could have said right at the start "If using the KF series you need to boot into the BIOS and enable CSM if you want to use a GFX card". Of course they can not say that at all, because they know the KF series will not produce a display.
So if I can give some advice it is to stay away from F series chips. If you don't then you may find that motherboard manufacturers are going to snafu you because they don't have the sense to detect if a KF is installed and automatically enable GFX cards.
If you are going to go down the F series route then ensure you have a donor chip at hand like the G6400 as you will need this if ever you need to go into the BIOS after a BIOS reset, change of battery or BIOS updated. My gosh, I am going to now dread updating the BIOS. I think I will just freeze it as it is and never update it (unless of course Gigabyte address the issue for F series users)