Short answer from the Zune Team, “we’re working on it.” Longer answer read this post.

[Image Source: Flickr – nio_nl / CC BY-NC-SA 2.0]
Zune’s move into international waters has not been without some friction. In particular, some international users, with existing Zune accounts, have issues with accessing all portions of the Zune service. This is because the billing address in the Zune portion of their Windows Live account says they reside in a different from where they actually live. In all, this is not an entirely new problem as Canadians have been wanting access to the Zune marketplace since Zunes were first sold north of the border in 2008. At the time (and still the case) the only way to have a Zune and download music from the Zune Marketplace was/is to have a US-based address for the Zune service within a given Windows Live account. Fast forward to 2011, with the launch of Windows Phone 7, and more Zune services moving internationally, the same problem still exists albeit on a larger scale.
Episode 102 of the Zune Insider podcast addresses this issue directly with the answer of “we’re working on it,” posited by Zune Insider co-host Matt Akers. For context to this answer it is necessary to back up a bit in this podcast as a discussion into prioritizing various fixes begins around 9:10. Here’s a portion (with some editing on my end) of that conversation between hosts Matt Akers and Jessica Zahn as it relates to the issue of switching your Zune billing country. It happens around 15:30 into the podcast:
“Jessica: We can loot at these sorts of things [issues relating to Zune services]. We can look at statistical data and really understand what the scope of the problem is. Even though it totally impacts a person… it doesn’t impact 500,000 people…
Matt: We should stress too that that’s still important to us. Even if one person has an issue, that’s still something we care about… If there's a problem we want to address it. But I think with this country thing… the reason it’s become hot button is because it is so complex, it’s so difficult… and there’s so many moving parts to it that it is hard for us to just do an instant solution. And that instant solution hasn’t happened… I think the key message is we’re working on it, absolutely.”
I should note that while the same problem exists on a larger scale, more problems are solved by having Zune available in more countries. First, the solution is working itself out by insuring fewer people are in a country without Zune (read The Take Away). Second, having Zune available in a home country gets people to use their real address for this part of their Windows Live account. This also helps with issues relating to technical support (how do you send a repaired Zune to a US address that does not exist?). Third, it addresses the issue that has been discussed quite a few times especially by Zune users outside the United States, on Twitter, and in the Microsoft Answers forum by virtue of the fact that new Zune users do not (typically) face with this issue. Realizing the difficulty between servicing a vocal minority and doing the greatest good possible, I think the Zune Team should realize (if they do not already) that the people facing this issue are many of the hardcore users who would line up overnight to be the first into a Microsoft store, were one to open in their home country. At the same time Jessica is right, this is an area of code that is dangerous to be playing with, considering the fact Microsoft Billing (which can be your best friend) is responsible for all 30 million people with an Xbox Live account.
Finally, to an extent I have to admit some responsibility in this as I have advised international users who want the best Zune has to offer to follow the the International Zune User’s Guide. I still recommend it, albeit with caveats relating to content ownership and everything that has been discussed in this post and the podcast. If you want the best Zune has technically, there is nothing stopping you from saying you live in the United States and changing a few settings on your PC. However, know that in some legitimate instances (including if you move within areas serviced by Windows Live, even within Europe) your access to certain parts of the Zune service, including technical support, may get cut off due to billing issues. Lastly, when there are issues that affect you, know the Zune Team does listen and tries to fix your problems swiftly. Still don’t believe me? Ask @ZuneSupport on Twitter.