If you pop over to Creative's fourms, you'll find a ton of people with every single possible problem while using 4GB of RAM. Then you'll find other people with no issues at all. It's really all chance and luck.
On-board won't sound better, but it most likely will work better. Vista does away with DirectSound so theres no more EAX making Creative's stuff kinda useless unless you use their Alchemy program which converts EAX into OpenAL. BTW you must purchase that if you own an Audigy, but it's free for X-Fi users.
I would build the system, try on-board. If you can live with it, then do so. If not, try your Audigy 2. If that doesn't work, then get a X-Fi.