It's a more common feature on smaller boards that have less room for expansion, usually intended for HTPC/streaming usage. These solutions rely on external antennas as well.
As just brew it said, no current x86 desktop chipset supports Wi-Fi natively, so all of these solutions still require drivers at some level. Any differences will depend on what chip is internally used. Most of these chips are interfaced over PCI or PCIe, but to expand on that, some motherboards that feature built-in Wi-Fi do it via an actual Mini-PCIe add-on card anyway.
How do the reviews look for your current card? If it's an older card, it may be a more recent OS-support issue as well. Google for your symptoms using the model number, or just look for a decent new card(or external), as jbi said.
A more direct response is that without knowing your card's model number, there isn't much anyone can say as to if any Mobo + Wi-Fi would suit you better.