Does this happen all the time or just when you cold boot?
If it happens all the time, are you running SLI or Crossfire? For example, running Crossfire and having your monitor plugged into the wrong card will cause the problem you described: you can't see the POST screen and get no video signal until you boot into Windows. Connecting your monitor to the other video card will resolve this.
If you're NOT using multiple GPU's, then I'm not sure what the problem is and would need more info before trying to determine what it could be.
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