First off you might wanna check out the component or systems forums for these types of question.
As for your compatibility question, yes they are all compatible but the Xeon you picked doesn't have a CPU cooler so your gonna have to buy a after market cooler. I prefer the Cooler Master 212 EVO. Its about $25 and it's performance beats some coolers 3 times its price.
Also a place where you can gather all your stuff into one place and view all the cheapest prices and check compatibility is www.pcpartpicker.com.
Also if you live in the UK replace the www. with uk. and if you live in India I believe its in. and if you live in Australia I think its au.
I made that build on the US site so if you add uk, in, or au some parts you can't buy and need replacing. Now if your buying from a local store then check the prices on this website and compare them to the stores prices. It all comes down to your decision. Sorry for prolonging this, and I hope I helped you out.