I can't say for certain but it's my understanding that the bundle is equipped with the 850 band missing from the international version. Nokia Music is unlikely, since it was bundled in for markets where Zune marketplace is unavailable.
Cant confirm they "work" but the US bundle does have the 3G 850 and 1900 bands available.
As for Nokia Music. I have read you can get it if you select UK upon first time configuration. You can then change to US. Cannot confirm this either has I do not own the device.
It does not have it out of box. Maybe I'll try the setup trick starting with UK one night next this week..I did have a vodaphone model that seemed mostly solid (I saw my bars collapse in calls a few times) but no problems so far with the phone from the bundle.