Rather embarrassing: MSN Music purchases are not compatible with Zune ... seems that tracks from the MSN Music site are compatible with the specifications of the Plays For Sure initiative. So, Zune content not supported on Plays For Sure devices. Read more about it as reported by the BBC here.
Note: MSN Music, Napster, AOL Music Now and Urge all backed Plays For Sure as did many players from hardware makers such as Archos, Creative, Dell and Iriver.