Because Zune is a huge piece of software, it integrates the Marketplace and social features into the player, not to mention that it gives syncing with Zune devices the same importance as iTunes gives to their iThingies , but supports fewer file formats, and includes no video support (right? I forget).
Zune is targeted towards users that have the actual hardware, while WMP is a universal media player for Windows. I understand your point of view, and I would pretty much like the same thing to happen, despite the fact that I don't own a Zune, but that's just not likely to happen.