It's not so much EAX as it is CMSS-3D Headphone being able to utilize the 3D positional audio that DirectSound3D and OpenAL offer for a proper binaural mix, whereas Dolby Headphone still has to make do with virtual 7.1.
This means you get height cues, smoother panning (instead of sounds seeming to jump from speaker to speaker), a better sense of distance, and so forth with CMSS-3D Headphone in such games.
Remember that EAX is solely just to add reverb/chorus/occlusion processing to sound effects, while the DS3D and OAL APIs are meant to position the sounds within 3D space. Two totally different tasks, even if EAX is accessed through DS3D and OAL.
All of that said, if you don't have anyone willing to order an X-Fi card at sane US prices and export it to you, then it's a moot point given the exorbitant price premiums at hand here. I recommend X-Fi cards when their prices are in line with the competition, not way above them like they tend to be outside of North America.