-UPDATE-
According to this post today on ArsTechnica, Zune doesn’t actually change the shared file:
Trusted sources tell us that Zune’s wireless sharing feature, which requires Zune’s DRM to function, will only monitor the presence of shared songs for the purposes of controlling playback. Files themselves will not be modified, either on the player or on a local PC.
We also learned that users cannot share files that they have received by sharing.
Sounds to me like a distinction without a difference. Sure, the device doesn’t change the recieved file, but it also doesn’t allow you to share that file with anyone else, and after 3 days or 3 plays it will no longer allow you to play the file someone shared with you.
Can you take a file you recieved via sharing and move it to your PC, and play it forever? Unclear.