Do a google search (or search the Apple support pages) .... but there are supposedly some LEDs on the logic board that will light/blink to denote certain diagnostic info. I only know this because the techs looking at my Mac Pro were reading the LEDs. I have no idea how to read them, and what info they can provide, but I think you have enough search terms to make a very quick and narrow google search to see if the LEDs can be helpful. Also check the Apple support pages, especially the community discussions. There are some smart crackers there.
Or you could pop the new CPU into slot one, leaving the the slot two with an old CPU, and if it still fails swap the old removed CPU into the slot two. That way you are handling the new CPU once, and the good old CPU twice (once to pull and once to re-install) - at most.
Good Luck.