Definitely this seems to be a software problem,
...what you may try would be to go to the control panel, under sound and check for the default playback device. Most likely the operating system is still using the HDMI interface on the video card instead of the sound controller on the motherboard.
Make sure that the integrated audio controller is shown properly in the Device Manager. Additionally you can test disabling the audio controller on the video card and use only the integrated on the motherboard while testing. (make sure that the integrated audio is enabled at BIOS level too, some video card manufacturers recommend disabling the onboard audio when using video cards with integrated audio controllers)
the gtx 460 puts out audio automaticly with out having to hook up an spdif cable to it, so its going to be your default audio output.
it happend to me went to the same thing almost, almost ended up taking my pc appart and putting it back together just to pin point certain things.
first check in your bios that the audio is set up and not turned off, update audio drivers. then check the audio control panel and see if the nvidia high defenition audio is set as your default device, if it is then change it to the speakers realtek high definition audio, i got an evga board so not sure if your audio set up is the same but on mine whenever i plug speakers to it i got to change it to speakers, but mine reads it when i hook up a headset or mic on the out in front of the case, havent try on the actual boards output.
try checking and changing your default audio device to speakers instead of the nvidia high defenition audio.