The issue you're seeing is likely due to the fact the controller you got isn't supported in the R710, as seen here under Compatible Systems. The 9207-8i controller is intended for use in the 12th generation systems. The controllers supported in the R710 are the H200, the Perc 6i, and the H700, there are more, but not that support SSDs. Those controllers do support SSD's
You can set the embedded SATA under SATA Settings in the BIOS.