Having had my zune pickpocketed and just had to go to the store for another $300 worth of Zune and case I too would vote for a way to both report a Zune stolen, and track down, lock out, brick or otherwise disable or trace the stolen device. It would allow police to track the device down, and if you prevent a thief from using the device it's a much less likely target. It would be a leg up on Apple that just ignores the problem as well.
I know my XM Radio is not a target for theft because without the radio ID hooked to a valid account it's useless.