for most people onboard is fine. i would only look at an upgrade if you find you have issues with your onboard or do not like its features/sound. you should have virtual surround support as well on that board.
given the $200 pricetag of the zero, you might want to think about the headphones available in this price range before pulling the trigger unless you are quite sure you did not want a headphone + mic solution (they do make boom mics like the modmic) as you can often either get similar quality or better for less money or better quality for the same money.
for instance, i believe the game zero is based on a $99 hd280 from sennheiser. they charge you an extra $100 for a mic? the pc363d is based on either the hd518 or hd595 based on who you talk to. with the new lower price its not so bad but still you can buy headphones and a mic cheaper.
i'd suggest the hd518 + modmic, or if you wanted even more of a budget setup going with a cheaper lavalier mic or the cheaper grade moovmic though you'll lose out a bit on vocal clarity.
of course its your decision if you want to get the zero. its not a bad headset at all (which often can not be said about gaming headsets) just a bit overpriced for what you get.