Your first impression is correct. The Zune only plays protected music from the Zune Marketplace.
I was considering buying a Zune instead of the new line of iPods because honestly, with an iPod Classic (the one I would get), not much has really changed from the video that would make me spend $200+ for it. And, on another note, for the iPod, I have to constantly convert the protected wma files that I get from my music subscription (BearShare). There lies my question. Is the Zune compatible with such files, or just the protected wma files that you get from the Zune marketplace, because that is the impression I got. If anyone knows, or is in a similar situation, please help. Thanks alot!