I would recommend you to re-check the audio connectors once more. In my experience, if the front panel audio connector doesn't work it is usually some wrong connections.
Bear in mind that most audio connectors also have a little switch that makes contact when the plug is inserted, so that it shift output from internal (that is the audio connector at the back of the mainboard).
I don't know if your MB/sound chip operates that using software or hardware, so make sure the correct drivers are installed.
Do the audio output works otherwise ?