The front audio connectors should connect to the header on the motherboard where the on/off switch and lights for the case connect to.
Unless its the type of connectors with the 3.5mm jack plugs on it, in which case they have to go through the case, out the back and connect to the rear connectors. If its this type then you have the choice of using the front connectors OR the back, you can't use both at the same time.
Correction on the first bit I typed, look at the manual page 2-30. At the bottom left of the board is the Front Panel Audio Connector and you would use that.