The motherboard audio will not be involved unless you select that as the audio output in Windows.
Will it sound obviously better? Maybe. The headphone out is not ideal because you're essentially amplifying the signal twice - once with the onboard headphone amplifier and then with your integrated. If you don't hear any noise at the volume you're listening to, then it's not a problem.
Is there any particular reason why you're considering a soundcard vs. an external USB DAC?