Sorry I can't help locate the marketplace. If it isn't on the top menu of the Zune 4.0 software I assume it is a regionalization thing.
I just wanted to mention that you can subscribe to podcasts without the marketplace. If you go to Podcast under Collection, at the lower left is a button that says "Add a Podcast". You click on that, enter the podcast URL, and then your subscribed. You can get the URL from the places that generate the podcast. For example, NPR or CNet have links to a list of their podcasts and buttons for either iPods or other MP3 players. The "other" link is either a url or to a page of urls for all their podcasts.