There's all kinds of Windows Mobile phones that have iPod-esque features. However, the device makers don't want use the Zune branding, because they want to use their own branding.
But there's a difference between having a phone that CAN play music, and a phone that's designed to make listening to music enjoyable.
My current phone has a music player. I would never use it. I would take a crappy unknown MP3 player to my phone's music player. It's awful. And a part of what makes it awful is that I don't intuitively know how to make it play music.
Compare that to the iPhone. Microsoft might try to make a competing phone. Right now, they've got nothing.