You are only able to connect the number of displays the motherboard manufacturer has given you. The DZ77GA is targeting over-clockers/games players who typically have little interest in the on board CPU graphics as they use one or more discrete graphics cards, for this reason this particular board only comes with one HDMI connector, so you can only connect one monitor running from the CPU/chipset.
Yes the CPU and chipset can support up to 3 displays, but that is only part of the story.
If you want more displays you would need to buy a separate graphics card.
The Intel media series boards such as the DZ77BH which target a slightly different customer, has an HDMI and DisplayPort connector and will support 2 displays from the CPU and chipset.
Motherboards from other manufacturers can be found with 3 graphics connectors to support the maximum number of displays from the CPU/chipset.