MOBO Video Output not working/ GPU Output Does

So I have a question out of curiosity. I built my first pc last night and then plugged in my monitor into the VGA plug of the motherboard (you will see both the gpu and mobo have dvi and hdmi, however the monitor only came with VGA so I had to plug it into the additional VGA port on the mobo). However, the VGA output was not detected and the monitor would not show anything. I thought the system would not POST, so I decided to test the HDMI plug on the GPU with my TV. Magically it showed the POST and I was able to setup Windows 7. My question is, why didn't the VGA on the motherboard work? Is it cause for concern, or just a broken component that won't affect much (I plan on using the GPU DVI output once I gain the plug)? I'm a new builder and a noob when it comes to inner workings, I just want to be sure that this is not a sign that the motherboard is barely working. Here are the specs:

ASRock H61M/U3S3 LGA 1155 Intel H61 HDMI SATA 6Gb/s USB 3.0 Micro ATX Intel Motherboard
Intel Core i3-2120 Sandy Bridge 3.3GHz LGA 1155 65W
XFX Double D HD-687A-ZDFC Radeon HD 6870 1GB 256-bit GDDR5
CORSAIR Builder Series CX500 V2 500W
G.SKILL Value Series 8GB (2 x 4GB)
Samsung by Seagate Spinpoint F3 HD502HJ/ST500DM005 500GB
SONY Black 18X DVD-ROM 48X CD-ROM

The monitor: HP W2071D (DVI, VGA)

In case I confused anyone, here is a pic of what I'm trying to describe: