Here's a workaround:
Because the Zune and Windows Media Player software are a pain to create playlists, I use MediaMonkey to create a playlist. I then send them to an M3U file. I open Windows Media Player and drag the M3U file into the Media Library window. If you find that the Zune software does not automatically pick it up, go Media Player and export each playlist to the Zune playlist folder as a WPL file. When you next open the Zune software, it will automatically import the new playlist from WMP and create a ZPL file (sometimes takes a while). It can then sync to the Zune device. If I perform major updates to the playlists, I find it sometimes easier to delete the old playlists and allow the software to import the new ones. If I copy each M3U file diectly to the Zune playlist folder, it does not generally pick up the correct path to the music files after opening the Zune software, but one can edit the new playlists to correct this.