Modern mainboards already have pretty good onboard-sound, you won't hear a great difference between a dedicated soundcard and the integrated one.
BUT: most mainboards lack of a good headphone-amp. Even though it says, that it can power "up to 600 Ohm" doesn't mean, that that really works.
Headphones can sound different, if they're not getting enough voltage to fully drive them.
Just get an headphone-amp like the Schiit Magni 3 (if you want to get the best for around 100$), or if you want to go cheaper, buy the Sabaj PHA-2.
If you're not hearing any difference (besides getting louder volume) just return it.