Is your zune really getting turned off?
If you are still burning though your battery after the latest update try this.
This is from the Zune community board.
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How are you turning it off?
When many people are done listening to their Zune they hold the play button thinking they are turning their device off. WRONG, holding play puts your device into a suspended sleep mode. This sleep mode is good for people who use their Zune off and on a lot throughout the day, but if you are going to shut off your Zune and keep it off for longer than 10-15 minutes a complete power off is a good idea.
Turn Off Your Zune
To turn off your Zune, you hold ‘down‘ and ‘back‘ simultaneously for about 5 seconds. This will completely turn off your Zune. The only downside to turning it completely off is that when you choose to turn it back on (hold ‘play‘) it has to boot up, which takes 5-10 seconds.