Drivers for the onboard audio (or sound card) installed? If not it won't show up as speakers with the name of sound card showing like above, but show as "high definition audio device" if running on the Windows default audio
driver.
It is also possible that your motherboard's bios has disabled the onboard when it detected the built in audio (bios sees it as a separate sound card) on the video card. If it is set to auto set it to enabled if available. If the only options are auto and disabled then unfortunately the only solution I know of is to use an actual sound card or to use USB headphones.