I feel you man, I'm in NZ too. And no, we do not get zune pass and those nifty Bing search features, although we only get bing vision and voice, no music and local scout isn't even supported.
I do however have them, that is if you have a US account (that needs a valid US address and phone number - I use my aunts address and yes she gave me permission, and we have magicJack to have a supported US phone number, so that, I'm all covered.)
With a US account you can basically have a full-pledge windows phone (except local scout) plus you buy your apps $2NZD less. I gave my example on Final Fantasy on this - in NZ this costs $10.99 and in US it is $6.99. I got charged for total of $8.65NZD (including OffShore margins) So I saved a mere $3NZD lol
Not really sure about Xbox Music when it comes out. On Xbox's we only have Zune Video marketplace. We can only rent videos here or purchase them, but we can't get the TV shows and stuff - now this is where the US account comes in handy. I use VPN so I can watch The Legend of Korra in Zune Video marketplace.
So yeah, been using both Zune, Xbox, and Windows Phone for a year and a half now, so if you got NZ-related questions, I probably have the answer for that regarding to my experience with both NZ and US accounts.
Oh and yes, you can use Spotify as an alternative, but with Zune Pass you can have SmartDJ and those artist backgrounds that changes your lockscreen wallpaper.
AND Zune isn't dying, its only being rebranded as Xbox Music.
Look here: http://zune.net/en-US/promotions/xboxmusic.htm
So basically its Zune to the core, but they're changing the name and add more improvements to it.