The reason why you are getting this behavior is because the motherboard requires a video card, so the video and the audio are coming from it. The card does not support bifurcation.
The use of a video card disables all audio and video output coming from the motherboard. This board is an exception since it does not have onboard video.
The following link will provide you some recommendations for this kind of issue.
This is what I suggest you to do when you want to use the audio jack
Sound Playback is set to the wrong device
Go to Start > Control Panel > Sounds and Audio Devices, click Audio tab. Check the default device for sound playback; there can be multiple selections. Select the desired device, either rear panel or front panel.
Other solution will be to get a monitor or a TV with audio jack included.