Hi ReaperX
Nice set of gear in that list -- very similar to something I just put together - thread just completed in the build log forum area. It looks to be quite overclockable and you have picked acceptable cooling gear.
A few notes:
I couldn't get a Sandy Bridge-E to run RAM at 2400. Those Mushkins work wonderfully in my 24/7 system with a Haswell. If you wind up with with RAM speed less than 2400, it's not the RAM's fault. Sandy Bridge CPUs have relatively weak memory controllers that were improved in later generations Ivy Bridge and Haswell.
ROG Connect is a USB cable with both ends wired for a PC, plus some software that allows another PC to sneak in the back door of the R4E and adjust OC while anything else is running - it has nothing to do with monitor or video card.
The OC Key is probably what your question refers to. It usually connects between a video card and a monitor using a DVI cable (it has to be a DVI digital cable to work). Built-in firmware in the R4E puts an on-screen display overlayed on the monitor with OC information. The OC Key can put the display information on a monitor without involving the video card. If you are trying to use a second monitor with DVI to get the OC display, connect the OC Key to the R4E with its dedicated header cable and to the second monitor through the DVI, but not at all to the video card.
I recommend Aida64 for monitoring clock speeds, voltages and temperatures. It's not free, but has a free trial.
OCCT is the end-all of stability tests, but some think it goes too far. Realbench, available on this forum, is closer to real-world application stress levels. If you're going into competitive benchmarking, go with OCCT.
John_Au is right about Afterburner - I use it even with ASUS branded video cards.
MEMTWEAKIT is included in the software for the R4E and is great for quick setting and test of RAM timing. That's one advantage of SB over Haswell - Haswell won't set RAM timing from within the OS.
Have fun with it all
Jeff