Three main things:
Flush your rads. Vigorously shaking it in every direction. Rinse, repeat. You’ll be surprised how much dust/debris comes from a new radiator.
Check if all screws are tightened in the waterblocks. EKWB is quite infamous for shipping waterblocks with loose screws. Visual check if jet plate (if is available and is a separated piece and not inbuil with the top of the block) is positioned perpendicular (90 degrees) to the waterblock’s fins. The idea is that the jet plate should distribute the coolant across the largest fin area as possible. If it was parallel to the fins, just the fins under its opening would “receive” coolant, if that makes sense. Not a common issue, but some waterblocks allows for the jet plate to be installed wrong. And I had new waterblock arriving wrong in the past.
Leaks. The one that can actually cause damage. The others will affect performance, but leak is a serious “detail” to check. Personally I use paper towel around every fitting, and only after a while, turn the loop on. Even then, keep the paper towel in place as, specially coloured coolant, will be used easily spotted. Just make sure if doesn’t interfere with your fans.
If you don’t clean your rad before filling the loop, yes, all the crap from inside the radiator will stop at the first waterblock’s fins. Also, tools used for tightening fittings, like the plastic one from ELWB may scrap itself releasing tiny black bits inside your loop. Using a filter isn’t really a solution, as anything large enough to be stuck in the first waterblock fin won’t make its way to the filter.
From my experience before, EKWB radiator wasn’t too bad, Corsair was quite clean but Alphacool was nasty. Decent radiator, but needs serious flushing.