Hmm, that's very odd. Kinda makes me want to rethink if I want a Zune HD or not. I looked it up and it seems other people have had this problem when trying to download items from marketplace and for other reasons that involves a problem with the Zune software and an Internet connection, so I don't think it's a regional problem. Hopefully someone can help you, but I think there's probably a setting on your computer that interferes with the Zune Software using the Internet to get the update. Try contacting support maybe.
*PS* If you do get it to work, let me know how it works and if you recommend getting one from the US