To use the Zune 4.0 software fully in the UK or elsewhere outside the US have a look at this article http://www.withinwindows.com/2009/09/17/restore-zune-4-0s-missing-features/ you would still need a US Windows Live ID for the Marketplace, but this enables all features for the software. Syncing Music, Pictures etc works with the current Zune in the UK still, the Zune HD should be the same.
I am getting a Zune HD and will confirm this on receipt (this may be a while though). Since development just needs the XNA 3.1 with Zune HD extensions (search online for XNA Studio 3.1 Zune Extensions (sorry cannot link to this too as new member), you should be Ok, however it may be worth waiting for someone else in the UK who has one to try this, but for XNA at least you may be fine.
No 3D support, still the old SpriteBatch methods with new API for Multitouch and Accelerometer support mainly added to the old Zune APIs.