Do you have the correct cable connection between the motherboard and the case front panel jacks? When I assembled my home built PC, I had a problem with the front panel assembly in the case and had to get a replacement front panel assembly (and cables) from the case manufacturer to fix it.
As this is a new system, it could be anything - from the connection on the motherboard to the cable and /or front panel, to a hardware problem with the integrated audio.
Go back and verify that you have the HD Audio connection connected to the motherboard pins and that it is connected correctly. You may have to take an ohmmeter and try to trace out the connections to the front panel headphone and mic jacks to ensure continuity in the cabling. But the wiring is the first thing to check.