Utpal1does it mean my 16GB 1333mhz memory module will perform in downclocked 1066mhz speed??
Correct, the max memory speed with that CPU is 1066.(Note: This applies to dual rank or higher DIMMs when 2 or more DIMMs per channel are populated)
Utpal1does it mean DDR3 1333mhz module is not supported at all?
No, it will automatically down-clock, so you can install 1333 memory and it will function normally at 1066 speed. Here is a quote from internal documentation regarding the memory down-clocking:
Dell internal documentationThe user can install memory DIMMs up to 1333 MHz with any processor shipped on the Dell™ PowerEdge R710 and R410. However, if the installed processor is not capable of operating at the bus-speed specs of the memory it will simply down-clock the faster memory to the highest rate it is capable of supporting, and the memory will function normally at that bus speed.