I hard reset my Surround a few weeks ago and made sure to name it exactly the way it way before, but nothing auto synced. So I had to select all my music, photos and videos again. It also overwrote my synced Camera Roll and Saved Pictures folder. It did bring over 26 of my 160 apps, but several I had previously deleted and many were trials of apps I later purchased. The Zune sync step took me about 45 minutes, where I thought it would take much less.
But to answer the original question, Zune sync is oly for your media; music, photos & video, so it all not sync apps, data in apps or settings. The good news is there are very few settings to save. I try to use apps that store info in the Cloud or sync with SkyDrive or Dropbox so I dont lose important stuff after a hard reset.
Of you sync your old phone, make sure you backup your photos: My Documents/Pictures/Zune or they will be overwritten when you sync the new device.
Sent from my HTC Surround using Board Express