Probably some incompatibility with the encoding method/codec parameters...like high-complexity/low-complexity, etc...
from wiki:
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As a media player, the Zune software supports the following formats — for audio: MP3 (.mp3), AAC (Low complexity) (.aac, .mp4, .m4a, .m4b, .mov),
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edit: Actually, NIN says the following:
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the music is available in a variety of formats including high-quality MP3, FLAC or M4A lossless at CD quality and even higher-than-CD quality 24/96 WAVE. your link will include all options - all free. all downloads include a PDF with artwork and credits.
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m4a lossless is probably the apple lossless codec (which isn't aac, but apple's codec in a .m4a container), and isn't compatible with Zune.
What I would do is use something like dbPowerAmp to transcode to a high-bitrate standard m4a (AAC low-complexity). Or, if you still want lossless, transcode to WMA lossless.