Custom Atmega32u4 board first boot
From the DFU bootloader datasheet:


  The 8bits mega AVR with USB interface devices are factory configured with a
  USB bootloader located in the on-chip flash boot section of the controller.
  
  This USB bootloader allows to perform In-System Programming from an USB
  host controller without removing the part from the system or without a
  pre-programmed application, and without any external programming interface.


The part itself should include a bootloader. Verify that the circuit is configured as per section 21, "USB controller", in the Atmega16U4/32U4 datasheet and that the fuses are programmed for external crystal operation as well as BOOTRST for booting into the bootloader instead of the code at 0x0000.