One of the weird complaints about the Zune back in 2006 was that Microsoft wasn't able to snag the zune.com domain name but had to instead settle on zune.net. (I seem to recall this generating some sniggering from the Apple faithful, actually.)
So while I'm not sure exactly when it happened, something has happened. If you visit Zune.com today ... it goes to the Zune Web site. As it should.