You wouldn't happen to have a link, would you? If it's the review I saw, the reviewer just reported how the SP2500 sounded with the Xonar Essence STX and didn't compare the combo with onboard audio.
A lot has to do with the quality of the input signal. Most of my music are mp3s from ripped CDs (at 320 kbps) and downloaded mp3s (128-2?? kbps) so the improved quality a sound card can produce may not be noticeable.
I don't have the link to hand but i'll see if i can find it again

Yeah most of my tunes are in mp3 but m sound system is not upto much more lol
Edit: The only one i can find from him is this one
http://www.overclock3d.net/reviews/audio/corsair_sp2500_2_1_speaker_system_video_review/1 but i think i may have been mistaken about him comparig them. He may say in the video but i'm not sure.
Thanks for the link.
He didn't compare between onboard and a sound card. He just evaluated it using a Xonar DX (or DS; his accent was a bit rough on this old Yank's ears). I wasn't too impressed with the guy. He rambled a lot and repeated himself frequently. He totally missed the purpose of the mini-USB port on the controller; it's for firmware updates, not another input as he said. Playing the speakers in the video was a bit pointless because what one hears is dependent on the speakers one is listening on; the reviewer even admitted that. If the play portions were eliminated and the reviewer's dialog better organized, the review could have been pared down from around 45 minutes to 15 minutes without any loss of actual data.
This is the most informative review I've seen so far but it was also based on input from a sound card, in this case, the Asus Xonar Essence STX. It would have been nice to have seen a professional review comparing the speakers with onboard sound and through various sound cards.
Playing with mine using the onboard sound on my MOBO, so far, I've found I get the most pleasing results where the speakers are in my room by setting the speakers on the Wide program and the speaker's EQ on Reference, which is flat (no EQ), and giving the bass end a slight boost in the onboard audio EQ. I also have the loudness adjustment enabled. I'm considering flattening the onboard sound EQ and making the EQ adjustment in Media Monkey so it will apply only when playing music. I may change my mind once I get the new sound card in.
Most reviews and comments I've seen on various forum posts say it's normal to have to crank up the sub to just about the upper end of its range to hear it. For a natural sound, I haven't found that to be necessary, even when all three EQs are flat, but it does get set higher than the main volume. The Late Night program everyone has been lauding was a bit of a disappointment to me. It's supposed to route much of the bass from the sub to the midrange and compress the dynamic range so you can hear low volume passages without disturbing others during louder passages when listening to the speakers late at night. I have problems with much of the classical music I listen to having too wide of a dynamic range for comfortable listening so I had high hopes for this feature. Normally, by the time I crank up the volume enough to hear some low volume passages, the higher volume passages would blow my ears out (not to mention anger the neighbors). Grieg's Hall of the Mountain King is the worst of the bunch. It starts out with a low volume pizzicato double bass and gradually increases to the full orchestra belting it out. Sadly, the Late Night program was a disappointment. The compression wasn't nearly great enough and routing bass to the mid-range drivers just muddied up the bass a bit. Oh well, I like the Wide program better anyway (makes the speakers sound farther apart, giving the illusion of being in a larger room, soundwise). I'm hoping the new sound card will allow me to apply more compression. I've studied the manual but it looks like I'll just have to fool around with it to see what I can do with the card. I'll probably put the card in tonight or tomorrow; my back is still bothering me a bit after replacing some floor tiles in my bedroom on Tuesday before I had recovered fully from installing the speakers on Sunday (Betty Davis wasn't kidding when she said "old age ain't for sissies").