Unless I'm doing something weird, it seems that you can't rate (heart/broken-heart) songs in the Marketplace using the Zune Pass. You actually have to download a song to your collection before you can rate it. Since the Smart DJ is fed by your ratings, this seems like a pretty big oversight.
Who would download a song to their collection to give it a bad rating?
However, you can rate songs while in the Smart DJ mode. At least there's that.