Motherboard powers off after Windows shutdown or Power Off

I have just built a brand new system (specs below). I installed a new Windows 7 (will be migrating my old one over later if the force is with me) and I noticed that when I shut down Windows, the computer not only powered off but all the lights on my motherboard went out too. I was unable to switch on the computer with the power button.
The only way to power it back on was to switch off the PSU for a couple of seconds, power it back on and then the computer would power on with the switch as normal. When it is switched on it is perfectly fine and has been running overnight without issues.
All parts are brand new.

Intel Core i7-4770K 3.50GHz (Haswell) Socket LGA1150 Processor
Gigabyte Z87X-UD3H Intel Z87 (Socket 1150) DDR3 ATX Motherboard
Avexir Core Red Series 16GB (2x8GB) DDR3 2133MHz Dual Channel Memory Kit - Red Light
Gigabyte GeForce GTX 780 WindForce 3072MB GDDR5 PCI-Express Graphics Card
Samsung 750GB SSD 840 EVO SATA 6Gb/s
3 x Seagate Barracuda 2TB 7200RPM SATA 6Gb/s 64MB Cache HDD
Corsair RM Series RM 850 '80+ Gold' 850W Power Supply

Sorted it guys !! I checked the header cables and they were all ok so then I checked the main power cable that goes from the PSU to the motherboard and saw that, for some reason, it was out by about 1 or 2mm. I pushed it in and now all is well.

I wouldn't probably have spotted it if you hadn't mentioned the header cables.

Thank you so much !!