And here is the news :
Everything is solved !! What I did is the following :
I cleared the PC from all old Driver of the Creative Audigy 5RX, and than installed the new Driver from Creative, which
is supporting Win-10. And everything worked fine !!
I asked MSI about the Problem of the onbord sound (I could only listen to Headphone or to speakers at the wall).
There answer was, that there is no possibilty to have both at the same time active !!
I am happy with the Audigy now, the sound is 1st class !!
Thank you for trying to help !!
And Greatings to all your Falconeers in the world !!