The thing about motherboard S/PDIF is that while it should be free from the noises that motherboard audio jacks are susceptible to, it needs to have Dolby Digital Live to encode the signal on-the-fly into 5.1 so that the Mixamp gets more spatial information to do its thing. Most probably don't.
And then if you like playing older games that used DirectSound3D or OpenAL along with EAX, there's no other way to get the most out of that than a proper X-Fi card. (Those older games had even better sound engines than what we're getting now, which foolishly pre-mixes everything into whatever your Windows sound control panel is currently set to. If it's 7.1, you get an emulated 7-speaker sound field. If it's stereo, you get...well, stereo. With DS3D and OAL, they just tell the sound card driver where sounds are in 3D space and lets the sound card driver do the dirty work of deciding where and how to play back those sounds. This means that CMSS-3D Headphone isn't limited to a mere 7 speakers worth of spatial information, instead being able to leverage a true 3D binaural sound field...though that won't help you much if your HRTF differs from the generic HRTF used by CMSS-3D too much.)
Just so we're clear on setting up CMSS-3D Headphone (not CMSS-3D Virtual or Surround):
-Windows speaker settings to 5.1 or 7.1, preferably the latter. This is because of the issue I mentioned above with games that use APIs like XAudio2. DirectSound3D and OpenAL games shouldn't care at all, but it might be wise to set them to "surround sound" anyway, just in case. Don't worry about not being able to hear anything; the X-Fi will downmix everything, even with CMSS-3D off.
-X-Fi control panel setting to Headphones. This ensures that you have CMSS-3D Headphone available and not one of the other similarly-named features. It's also the only setting that permits asynchronous speaker settings in Vista and Win7. (If running XP, make sure to uncheck the "Synchronize with Windows Control Panel" box first.)
As for the FiiO E7 and E9, go for the E9 if you need an amp and ignore the E7. The E7 is a USB DAC and portable amp, while the E9 is a very potent solid-state amp, and docking the E7 to the E9 really means that you use the E7's DAC with the E9 amp. There's no point to this for gaming use since it's effectively bypassing your sound card to begin with.