Page 2-2, item 11 shows the connectors for the front panel, and they include a 4-pin setup for a motherboard speaker. Page 2-32 shows you the pin-out and some words about where to plug it in.
Page 1-1, Section 1-2 lists the package contents. It does not include a speaker.
It would be odd for the mobo to have a soldered-on and not show it on the mobo picture. Odder still to have one and still include pin-outs for it.
Conclusion: you don't have one.
Do the build . . .
. . . don't try to do two things at once
. . . don't be afraid to disassemble to make the next step easier - each build has its own "best" sequence.
. . . proceed slowly, with confidence, and enjoy the process.