It really isn't as crazy as you have implied. Think of an iPod, it uses iTunes to sync with the computer. No, you can't use it as a mass-storage device. The Kin has been limited by Microsoft in a similar fashion, which is a little discouraging, but it really isn't a big deal.
Zune software is NOT windows live, and it is also NOT Zune Marketplace, which is probably what you are thinking of. It is a free, offline software that is essentially just a media player software (like iTunes). Yes, it is true there is no MicroSD slot, which i wish it had, but even the iPhone doesn't. Sadly, Microsoft followed example of the wrong parts of Apple, but this phone really is as good as you can get for a feature phone. It is not a smartphone, so don't expect everything from it.
I just posted in a separate thread regarding the Zune software, so i won't post it here,but i will provide the link:
other posts regarding Zune:
http://community.vzw.com/t5/KIN/KIN-TWO-software/td-p/371836
Might i suggest, that you look a little bit around the forums before posting questions? Questions regarding Zune software has been discussed and answered numerous times. A little work and research on the reader's part goes a long way 
It sounds like you are a new owner/shopper, so i will post a link to the review/FAQ that i have created for this phone. It is long, so don't read it all if you don't have the time or interest, but i have organized it in sections regarding the phone. Again, i emphasize that you look around the forums and what has already been asked and posted, you will often times find that others have the same concerns you do. If you can't find the answer, then hopefully a post will provide new information for everyone.
http://community.vzw.com/t5/KIN/Kin-TwoM-Review-FAQ-Q-amp-A-troubleshooting-etc/td-p/347662
