It looks to me like you can go either way. If you want to use the onboard ports, you need a processor that has graphics. If you want to use an add-on graphics card, fine, you can use a processor that does not have graphics. However, you will also not have access to the onboard ports.
BUT, you know the best place to ask about MSI motherboards? MSI. It is their board, they built it, they know what they support. Intel does not.
If you purchase the Intel Core i5-9600KF, then the graphics connectors on the back panel of your motherboard cannot be used. You must have an add-in graphics card in this case.