So, the headphones work fine if the speakers are off, correct?
I don't have much experience as my headphones work if my speakers are on or off, because I plug them into the headphone slot of my center speaker(Logitech 5.1).
Yes, I would definately check the mobo manual and make sure you have the wires for the front panel correct. (Wires are usually the cause in 90% of all problems)
Other than that, if they work when speakers are off, don't worry about it.