Good point. No idea. My guesses are:
- Zune has not incorporated that restriction yet.
- I got my Zune from UK. Will such EU restriction apply there? Different countries may implement some EU regulations at different times, or not implement them at all.

The Zune I got, interestingly enough, seems to have a firmware that can be used in every country: you can chose the Radio FM frequency range amont US, EU, Japanese. Not that this means necessarily that there are no country-specific restrictions, but it supports this theory.