So I got the CPU, the pc kept rebooting and after like a minute I got into the BIOS and I saw the version that supports the CPU. After some problems with the error (New CPU installed fTPM NV corrupted) I got into Windows!
Seems like the BIOS really updated itself. Because on the label of the box it states that it comes with the first version of BIOS.
I really doubt BIOS 'self updated' as there's too many ways for that to go badly. I tend to think the people you bought the board from updated the BIOS before sending it to you. I'd also suggest updating to the latest BIOS as they've had several significant improvements to memory compatibility and over-all stability.
During initial memory training it can re-boot several times.
Did you reset CMOS? If not, do that now, and after BIOS updates, even if it seems to be running OK since there can be latent stability issues that won't come up till later.
You might also should do a clean re-install of Windows.