The Technical Product Specification (TPS) provides board and system specific information about the features, functionality, and high-level architecture of the Intel® Server Board S5520HC, S5500HCV and S5520HCT.
The Quick Start Guides are also very handy during assembly. http://www.intel.com/support/motherboards/server/s5520hc/sb/CS-030225.htm
You should connect all 4 connectors from your power supply. CPU0 power, CPU1 power, SSI power and the Aux Power connector for Power supply management( if so equip. ) Both CPU powers are mandatory for dual CPU operation. I am afraid I don't know if the second empty slot needs power to support other functions such as the Power_Good signaling to tell the system to boot if running in a single CPU mode.