I use built-in (also Intel HD) audio and both laptop speakers and plugging in something in the analog jack works just fine. But I don't see how it has a relation to this thread specifically? You should probably have made a new thread since using USB audio can make the problem of a different kind. Heck, if PA and/or ALSA can't detect it, it's effectively a distro problem and you should ask on your distro forum. Anyway, to answer your question, maybe it's not detecting your headset, not every audio device is supported after all. Look around on the web if ALSA is supposed to support your USB headset (because it's ALSA that handles sound hardware, not PulseAudio, which is just supposed to be a mixer). If your USB headset is supposed to just work, PulseAudio might not be picking it up, I've encountered such oddities before. Try removing PA and using a purely ALSA-based volume control application to check it out in that case.
