Do I need a Xeon for ECC memory support?

Yes, you need a Xeon CPU for ECC memory. Intel locks ECC support to Xeon processors on consumer platforms; a Core i7 like the 9700K lacks the necessary circuitry in its memory controller. Even if the motherboard supports ECC DIMMs, the CPU will ignore the extra bits and run them as non-ECC. For actual error correction, use a Xeon E-2200 series like the E-2288G.