I'm not the only one then.
I've had my build for about 4 months now and still can't figure it out.
I have an Asus Commando motherboard and an NZXT Lexa case, and I have the front panel audio connectors connected to a slot on the stand-alone soundcard that comes with the motherboard (similar to the card that comes with the Striker mobos), but no sound whatsoever.
I haven't really needed them, but it would be nice to have them working nonetheless (and certainly more comfortable to connect a mic to instead of connecting it to the back).
I might have them connected to where the case speaker should be, but I don't see anywhere else I can connect them to.
Same with a build I've done for my friend with a Raidmax Smilodon case and a GA-P35C-DS3R, which I also have the cables connected to a connector near the top pci slot on the mobo, but no sound there as well.
Too bad the instructions supplied don't help that much.
No biggie though, I don't use headphones nor do I use mics.