Hello,
Short answer: I don't know if it will/will not work...and I'm quite sure nobody knows that.
The "risky business" term I used means (to me) that you risk to purchase [*] an Hardware (that NIC plus at least SFP+ Transceiver) and then that Hardware may (or may not) work at all / like you expect (=performances) / without issues (Hardware/Software related issues) when deployed into the Asus "gaming" motherboard you're forced to use for your specific project.
Listen...supported doesn't directly means that that NIC doesn't work when installed in different platforms, it means only that HPE will not support those deployments because it certified and supported its deployments. This also means that HPE ensure a continuous development to avoid issues when its NICs are deployed on its Servers. That's natural.
The only sure thing we can say about that NIC is that it was engineered to be supported on HPE Server Hardware.
It might work on different Hardware...it may not...but nobody can guarantee to you what you want to know.
There are too many factors involved (non HPE Hardware, unknown OS, etc.).
Probably it could work...but this is only a personal opinion since, as you, I've only read that that NIC is Intel 82559 based (with an HPE Firmware) and HPE developed and provided various Software Drivers (and Tools) for it to work on a large number of (again, supported) different Operating Systems.
If you have so many doubts...why don't you look for (it's time consuming, I know) another 10Gb SFP+ NIC non HP branded (Intel, as example, has a plenty of them)...doing so you will not be bound to specific Hardware/Drivers/Firmware and so on...and the only thing you should worry about is (a) to have a proprer motherboard for the NIC you're purchasing/testing and (b) to use a proper OS supporting that NIC more or less natively with rock solid updated drivers (like happens in Linux/BSD/illumos with igb and ixgbe...).
[*] it's very less risky if that NIC is yet on your own hand...in that case you just need to find some time to test it with your configuration.