System specs 

• MinisForum UM790 Pro
• AMD Ryzen™ 9 7940HS Processor, 8 Cores/16 Threads
• AMD Radeon™ 780M
• 64GB Kingston (32x2) 5600MHz SODIMM
• 1TB Kingston OM8PGP41024Q-A0

The RAM and SSD came with the PC when I bought it. For full hardware specs, see:

• Linux Hardware probe (HDMI connected to mini PC)
• Linux Hardware probe (HDMI connected to eGPU)

eGPU hardware 

• ADT-Link K43SG M.2 NVMe eGPU adapter (I got the 50cm variant)
• ASUS Dual GeForce RTX™ 4060 OC White Edition 8GB GDDR6
• MSI MAG A750GL 750W
• Dell P2423D 2560x1440 @60Hz

Hardware Pictures

Well... I'm just glad the PSU is modular.

The 8-pin to 2x8-pin connector that came with the K43SG does not work with this GPU because it only has one 8-pin slot, so instead I connected it straight to the PSU with a cable specifically labelled PCIe.
Apparently, you can burn your house down if you use the CPU cable so don't do that!

Installation Steps

1. Install the Nvidia drivers beforehand, or else Linux will try to use nouveau which (in my experience) led to Xorg not wanting to start.
   On linux-mainline, install nvidia. On LTS, install nvidia-lts. On custom kernel, install nvidia-dkms.
   If Linux does not want to start after you install the eGPU because it tries to use Nouveau despite installed non-free Nvidia drivers, you may need to blacklist Nouveau
2. Assemble the K43SG by putting the long screws through the bottom of the holes labelled M-whatever on the left side, screwing the extra long pole(s) on where you just put the long screw
3. Check if it fits with your GPU, and repeat if you can add an extra one. If it fits, add the thumb screw (the fat one with the hole in the middle) on top of the pole once you have your GPU in place.
   The GeForce RTX 4060 only has one slot so I only used one pole
4. Attach the motherboard cable into the motherboard pin slot of the K43SG if using an ATX PSU, and attach the PSU PCIe cable (this one was a 6+2-pin cable) from the PSU straight to the 8-pin slot on the GPU.
   As mentioned before, do not use a CPU cable unless you enjoy firecrackers in your house! If it doesn't slide in smoothly, it's probably the wrong cable. And of course, PSU safety: only use cables that came with that PSU!
5. Open the UM790 Pro (screws are underneath the rubber feet) and insert the K43SG adapter into the second M.2 slot, taking care not to damage the fan cable. If you want to screw the back cover back in, only bother with the front two screws - the backside is impossible to close with that chunky cable unless you 3D print your own bottom plate
6. (Recommended) Stick the rubber feet on the right or left side of the mini PC. This way, you can stand it on its side and still have some airflow coming in through the vent
7. If dmesg shows some errors like

   [18433.698484] nvidia 0000:01:00.0: PCIe Bus Error: severity=Corrected, type=Physical Layer, (Receiver ID)
   [18433.698486] nvidia 0000:01:00.0: device [10de:2882] error status/mask=00000001/0000a000
   [18433.698488] nvidia 0000:01:00.0: [ 0] RxErr (First)

   then you should use this systemd service to get rid of the corrected errors (errors of other severity will still show for the device).
   I'm not 100% sure why this happens, but it is really annoying and reseating the m.2 connector multiple times did not help...

That's it. No BIOS mods are needed to achieve PCIe gen 4 speeds. I am on v1.09 as of the time of writing. No Xorg confs either - adding any conf resulted in errors (namely, (EE) No screens found).

Installation steps for Windows:

1. Set up the GPU as per the above
2. Download the appropriate driver and enjoy

Benchmarks

While running Unigine benchmark: PCIe x8 4.0 @ x4 4.0

nvidia-settings (Linux) shows the GPU in its highest power state when set to 'prefer maximum performance'.

With preferred mode set to 'auto' (shows Current PCIe Link Width at x4 and Current PCIe Link Speed at 2.5GT/s - in other words, PCIe gen 1 speeds):

Prefer maximum performance shows the expected speeds with this m.2 adapter (link width at x4, link speed at 16GT/s - proper PCIe gen 4 speeds):

CUDA-Z with HDMI plugged into mini PC (pageable memory never exceeds 6000MiB/s):

CUDA-Z with HDMI plugged into eGPU (observed peak is ~6350 MiB/s):

As for Unigine benchmarks, because I have access to two OS, there are lots and lots of them. Enjoy!

Basically, the benchmarks show that Linux handles HDMI from the mini PC better than Windows, but Windows handles HDMI from the eGPU better than Linux. However, the scores are always higher when the HDMI is plugged into the eGPU.
Considering the absolute state of NVIDIA drivers on Linux, this isn't exactly too surprising.

Comments

Overall, I'm extremely happy with this setup, and the fact that Xorg has evolved to become plug-and-play to this extent. With HDMI plugged into the eGPU, it's like exclusively using it, and with HDMI plugged into the mini PC, it's like using a laptop with a dGPU.

This is my first PC ever, and my first eGPU setup ever, so I was very wary that I might set my house on fire or deal with parts dead on arrival without realising it. Fortunately, none of my fears became reality and now I'm a happy customer with a house. Before this, I was exclusively a laptop user so this was a huge change. Thank you to everyone who is part of this community who has written guides and info - without anything here, I'd be walking in blind more than I already have. :'D

After reading Egor's build, I was quite fearful that I'd run into the same thing, but nope it all works well and the power-saving things are just real deceptive. I hope this build provides some optimism for other people looking to get a UM790 Pro while the deals are on!