I use the P8P67-M PRO.
First, I highly doubt that there is a defect in the motherboard.
1. Read pages 1-25/26 in your manual carefully to understand where you should plug in to the rear panel ports.
Plugging into the wrong ports will not hurt, and may seem to almost work
2. If your headphones are connected to the front panel of your case, make certain that the front panel headers are connected properly.
3. I would not bother with a discrete sound card.
4. Make certain that you have installed the sound drivers correctly.
Get the latest version from the internet.
5. Is the sound volume turned up high enough?