So, I've found the solution for this. :-)
For whatever reason, the WMZuneComm.exe service is hardcoded to use an
automatically detected proxy setting, not whatever setting that you
may have had configured in IE.
The "AutoDetect" settings are configured using a process called WPAD,
which depends on DHCP. Fortunately, a friend of mine wrote a DHCP
server whose sole job it is to announce that Fiddler is the proxy that
everyone should be using.
You can find his extension here:
http://deletethis.net/dave/wpadserverfiddlerextension/
After you install it, on the Tools > WPAD Server Settings screen, in
the Response Filtering section, choose "No Response Filtering", or
create an ALLOW Filter for the local computer's IPv6 loopback address.
(I'll ask Dave to make the next version do this automatically).
After that, you'll find that when your Zune attaches to the computer,
the "Server log" screen in Dave's extension shows your computer
querying for the autoproxy, to which it returns a proxy configuration
script that tells the client to use Fiddler as the proxy.
Subsequently, you can see traffic from both the device and from the
Zune Update software (WMZuneComm.exe). For instance, when you choose
"Settings > Phone > Update" in the Zune client, you'll see the
following traffic:
HEAD
http://download.windowsupdate.com/WM/MicrosoftUpdate/redir/duredir.cab
200 OK (application/octet-stream)
HEAD
http://download.microsoft.com/WM/MicrosoftUpdate/redir/duredir.cab
200 OK (application/octet-stream)
HEAD
http://www.update.microsoft.com/WM/MicrosoftUpdate/Redir/duredir.cab
200 OK (application/octet-stream)
HEAD
http://www.update.microsoft.com/WM/MicrosoftUpdate/Selfupdate/duident.cab
200 OK (application/octet-stream)
POST
https://www.update.microsoft.com/v6/ClientWebService/client.asmx
200 OK (text/xml)
HEAD
http://download.windowsupdate.com/WM/MicrosoftUpdate/redir/duredir.cab
200 OK (application/octet-stream)