Yes that board has the a headset amplifier. And a nice one at that....for a motherboard. Only thing missing is the extreme DAC the higher model MSI's have. Read up in the manual to know which connector to use and how to set the switch on the motherboard.
That motherboard also delivers a true 5V USB signal so any external DAC you use will work properly. With studios, they often add PCI USB cards to improve the USB signals for their DACS because they have thousands of dollars worth of audio equipment with shit computers
. You won't have that problem.
Your motherboard also use Creative Cinema software to control the audio. Set it for headphones, and pick your options. You can get the virtual surround sound from headphones which isn't bad. For the EQ you can use the one in your motherboard audio software to affect everything, or the EQ built into your music player to affect only your music. The latter is usually preferred so your movies and gaming doesn't use the same EQ as your music.
Winamp, VLC, Media Monkey, etc... any music player you use will have a built in EQ. I'm a Media Monkey fan myself. Sometimes the audio software has a nice EQ that you enjoy so you can just use that...I use to use some settings from Creative that I liked and used it across the board.
Since you have half decent sound as it is, an external DAC will not be a super vast improvement. It won't be night and day. It's not like going from a cheap motherboard to a high end DAC. That being said check out Emotiva DACs. They are generally regarded as being the best in their price range. Check the reviews and they agree with me. They make 2 smaller ones for desktop computer use, and they have a larger one suited for a home theatre with dual headphone amps and balanced outputs for speakers. Check them out and they are what I would recommend unless you want to go swimming in $600+ territory. But in the meantime enjoy your motherboard audio and you may not even want to waste money with a DAC since you already have something on board. Enjoy the headphones mate!!!!