What happen if there is no thermal paste in the CPUU?

The motherboard will shut down when the CPU hits the shut-down temperature. If the shut-down temperature is set too high, it will fry your CPU.

Shut down will probably occur before it completes POST, but certainly before it tries to boot into your OS.

Get some Arctic Silver 5 and follow the directions for install. If you don't want AS5, then find something you do like, but don't try to start your computer until you have applied the paste.
 
There should be thermal past on your heat sink usually. I can't believe you're running at 40 without any thermal past. When you purchase the cpu, there isn't paste on the chip itself. It's usually on the heat sink itself or they supply you with a tube to put on the chip.