I’ve had the same issue with my board even after installing all of the provided drivers. The Intel display audio drivers are installed and this works, but that doesn’t do anything for the headphone jack.
It seems that the Realtek HD Audio driver isn’t being installed.
EDIT: Realtek does provide driver downloads on their website. Unfortunately their servers seem to be hosted on the moon, judging by their god-awful download speeds, but I have tested them now and the Realtek provided drivers do work.
(I’m new to this forum so I’m not sure if linking elsewhere is allowed, else I’d post a link to them here.)