Yeah the Capcom IO will properly convert an arcade PSU to the required 3.3v.
Mitsurugi on this board sells proper ATX to Naomi cables but that’s really only if you want to run a GDROM Setup since that will require two PSUs to run.
If you’re using a Naomi, unless you really want to play on a PVM, you shouldn’t be using rgb scart and 15khz. You should use the Supergun for controls only and have the VGA cable connect from Naomi to Monitor or OSSC (I do the latter). The Capcom IO is also an amplifier on its own so you’ll need to use two sets of RCA cables (Naomi to Capcom IO, then Capcom IO to monitor or OSSC). You need to also have the dip switches set on the Naomi to run 31khz. You don’t need to touch anything on the HAS. Also make sure your Capcom IO has the proper toggled switches or else you will have weird 3P and 4P inputs.
I can’t speak for your PC PSU, but I use a Meanwell PSU for mine, and after I read the manual and also had tips from a fellow Naomi owner. I was on my way.
Here’s my MvC2 video.