Intel Motherboards with the same chipset work fine with that processor http://www.intel.com/support/motherboards/server/sb/cs-012690.htm
BUT... since this is an OEM system it may well be locked down not to use a particular series of processors. I tried to upgrade a dell workstation once with a faster processor only to find that the system booted fine, i could enter the BIOS and all but showed a nice pretty message saying: "Using this processor is not a supported configuration" and didn't let me boot into windows or linux or whatever.
That list of compatible Pentium 4 processors for the Intel® Entry Server Board SE7221BK1-E is not complete, ASSUMING the Dell version of the E7221 board indicates what would work in the Intel board.
I am using a 561 series cpu - 1MB cache and Intel 64 capable on a Dell Poweredge 800 with the same E7221 chipset. That list specifies required Bios updates for the Intel board to use a 6-series cpu.
To add to that Intel list - 521, 531, 541, 551, 561, 571.
The Cedar Mill series 631 641 651 661 cpus prohibit ECC memory - see ark.intel.com Memory Specifications headings.