Windows will boot without a monitor, or at least, it used to, not sure about Windows 11. But Steam Link mirrors your display, and so doesn’t work without one.
I just plug it into a power source and it does what I need it to do, but I can plug a monitor and keyboard (and sometimes a mouse because keyboard-only navigation seems to be getting less and less supported/intuitive...) if I need to perform troubleshooting.
This is easily "fixed" on a DVI port by plugging a resistor of the correct value into two of the tiny pin sockets. The diagram is very easy to find online and you don't have to open the computer. That's become a thing of the past as far as I know.
At said $OLDJOB, we ended up soldering dummy VGA plugs that had resistors across the right pins when we wanted to experiment with building a low-power cluster of NVIDIA Ion boards and seeing how it competed with big cards. Ah, memories.
You also used to be able to edit the PCI IDs for the drivers to get the Tesla ones to attach to consumer GPUs, but that stopped working at some point.
note that RDP works without plugs/virtual displays.