We do have to version of this wireless adapter, one for desktops and the other one for laptops which installation is supported by the OEM. If you are using a wireless adapter that is meant for laptops in a desktop you may experience issues such as this one you are reporting. Can you confirm what type of card you have installed in your computer?
So I have bought this for my Maximus V GENE (wich is died) with one kit of antenna from shuttle (second link without the wireless adaptater) :
And after the died of my Maximus V GENE I replaced it by my Z77A-G45 wich not have mPCI-E so I have bought from ebay the PCI-E standard to mPCI-E adaptater (the adaptater like you're second link), and it work for wifi (even if I have some problem to configure it correctly for 24/24H working)
We understand you are using one of the adapters above on the MSI* Z77A-G45 motherboard. According to the website: LDLC.com - Intel Network Wireless-AC 7260 (7260.HMWG) it suggests that this specific wireless adapter was designed for laptops as you can check and compare here according to these links: Intel® Dual Band Wireless-AC 7260 + Bluetooth* for Desktop and Intel® Dual Band Wireless-AC 7260 Plus Bluetooth*
We recommend that you contact the motherboard manufacturer in order to check its compatibility. For your convenience, we added a global link to your motherboard manufacturer where you can get the support you need: Assistance MSI - Propulsé par le logiciel de Kayako Help Desk
On our best effort to assist you, we invite you to access this link: Bluetooth® FAQ as they may contain information that might help you resolve this issue. Alternatively you can access the information on these threads: Intel 7260 AC Wifi adapter not recognized / disabled in Sony Vaio laptop post # 5 and Intel Centrino 6235 Bluetooth not detected by windows 7 post # 50 where users seemed to have found a workaround the resolved their issue.
*Please bear in mind that their "solution" is NOT approved nor endorsed by Intel and whatever may have worked for them may not apply to your situation. *Procedures such as this one may permanently damage the adapter and if you are willing to try their solution, it will be at your own risk. Please be cautious you decide to try it.