After days of struggling this is how I came up with a functioning solution of a headless ubuntu server 14.04.2 on a NUC DN2820FYK.
Hope this saves some pain to someone
1. BIOS
This is where the big problems are because not every intel bios supports headless boot, with some bios it won't boot if there is no video attached. I have not tested every bios but I can tell you that the version 0034 is working while the 0048 (the last available now) is not. If you have tested other bios write it in the comment, so I can update the list.
WORKING BIOS
0034
NOT WORKING BIOS
0048
So the first thing to do is to upgrade or downgrade the bios to a working version.
Download it from here:
http://downloadcenter.intel.com/SearchResult.aspx?lang=eng&ProdId=3782
Here is the procedures, I personally used the F7 BIOS Flash update
http://www.intel.com/support/motherboards/desktop/sb/CS-034499.htm
Important note: If the standard procedure doesn't work (as in my case downgrading from 0048 to 0034) you have to do a BIOS Recovery Update
http://www.intel.com/support/motherboards/desktop/sb/CS-034524.htm
If you have problem booting after the bios upgrade, clear the CMOS
http://www.intel.com/support/motherboards/desktop/sb/CS-034634.htm
2. BIOS SETUP
Enter the bios setup with F2 and first of all load the default configuration with F9
In the boot configuration DISABLE UEFI BOOT and ENABLE LEGACY BOOT
Other default settings left unchanged.
3. LINUX INSTALLATION
Nothing special about the linux installation, it will create 2 partitions (ext and swap) and not 3 as with EFI boot.
The only strange thing was during the installation of grub because by default it is installed on /dev/sda but during the installation that was the usb key I was installing from so I manually had to change the path to /dev/sdb which was the hard disk.
Hope this helps!