"an entire USB sound card" is literally a single piece of silicon (plus some passive components like resistors and capacitors) that can cost less than 10 cents to manufacture. Not exactly a huge burden here.
Additionally, unlike a 3.5mm jack, you don't need to deal with a 'sound card' that can handle almost anything you can plug into it. You get to tailor your headphone/headset drivers specifically to your attached devices. The general-purpose device that can handle anything you can throw at it costs much more.
