The SATA is labelled WD500G3BOB-00AXS0
OK, no worries....
The model you've stated essentially links me immediately to the WD website for an M.2 SA510 SSD, does that match the product you have?
https://www.westerndigital.com/products/internal-drives/wd-blue-sa510-sata-m-2-ssd#WDS500G3B0B
The SSD and the Crucial 16 GB kit are now installed in the NEO (but not recognized). Do I now have to reconnect the stick with the downloaded WINPE flash drive?
Right, so you're saying that neither the new RAM or the SSD are being recognised in the BIOS at all?
That being the case, slow down with thinking of installing Win from the flash drive again & first determine that the new hardware is actually functional!! It should be visible in the BIOS, if it isn't, something obviously isn't right!!
Having said that, if you want to just try installing Win to the SSD despite the new hardware not being detected in the BIOS, then by all means try it on the off chance it simply works, just don't be surprised if nothing happens because the BIOS can't see the hardware.
A double failure would be highly improbable but not impossible, however, did you at least source the hardware from a trusted vendor?
Make sure you're also taking basic measures to prevent damage to static sensitive hardware & that you're not damaging this hardware yourself!!!
Ultimately, you're going to have to break this troubleshooting down into 2 separate chapters for a start.
Given as there already seems to be some doubts as to the status of the SSD, personally I'd leave the new RAM installed & double check that's all OK first....
1. Re-enable Windows on the eMMC in the BIOS.
2. A. Boot into Win 10 from the eMMC, if that in turn boots OK & reports the new RAM correctly, & you can carry out basic system testing/functionality inclusive of the new RAM, at least you'll know if the new RAM is a part of this or not & obviously keep it, or remove it if the system won't boot or constantly crashes with the new RAM.
B. You might as well leave the SSD in place for now anyway. If you boot into Windows from the eMMC , does the new 500 GB SATA M.2 show up in Windows as a hard drive despite the BIOS not seeing it? (If it doesn't show up in Windows either, you may well have your answer.)
3.. If 2A also seems to have issues as well, then you'll have to go a step further & re-install the original RAM again instead, & then run Win again to see if normal function returns. (If that's the case, then the RAM may be suspect.)
If the new RAM is working OK, then concentrate your efforts on the M.2 again. Do you have an M.2 caddy or another PC that has a spare M.2 slot you could temporarily use with the M.2 to determine if it's functional to some degree or completely dead? If yes, test it, if no, then you'll probably have to simply return it for a direct exchange & try again once a replacement arrives.
You understand how this needs to go to double check this hardware? Given the doubt, there's little point in you investing a great deal of time in attempting to install Windows without at least ensuring the new hardware isn't the root of the problem!