If you have your box (it has the serial number on it,) it probably could prove you are the rightful owner.
If the thief erases and renames your zune, and logs in under a different account (they would have to do that...unless the thief also stole your login and password info...) then it would not be traceable online unless the zune servers also look at the serial number during sync. Is this possible? Yes, if the device serial number is somehow written to the device flash during manufacturing. Is this actually done? I have no idea...and have never seen any mention of this by any MS moderator.