Most motherboards have one, except now many are not recognizable as a speaker like they used to be. It's a small, black cylinder about 1cm tall and 1cm in diameter, with a hole in the top. And rather than being a "bolt on" affair it's now built on to the motherboard (no wires).
There are a few exceptions though. If you buy a motherboard for a self-build, a traditional mini-speaker is supplied with some models which you have to wire up yourself.
My P8z77-V Pro did not come with a MOBO speaker, I don't think many do anymore, I confirmed that board does not come with one built-in, it has header connections for the speaker but no speaker unless it is included separately.