I'm not surprised; I can't find a press release, official announcement or any solid info. There's not even any useful detail in the product listing in the Zune Marketplace (that place is crap).
I found this app because Mike Cane tipped me to a video on Youtube which shows off some of the features of this new app. I've watched the video, and I saw it browsing Feedbooks. That would suggest the app supports Epub and OPDS, which means you'll be able to download ebooks from any number of free ebooks sites. No clue on whether it supports DRM, though.
The demo video is at the end of the post. You can see the Zune Reader app at about 0:32.
I can't find any support info on any MS website, but I did find some posts on the Zune Boards with Zune users asking about how to fix problems they're having. The OPDS support might not be working quite right.
I also found the app in the Zune Marketplace. The listing didn't tell me anything useful but I do know that MS is listed as the publisher and that this app was released on 18 February 2011. There's no data on format support, how to load ebooks, or what have you, but Feedbooks, a free ebook site, is shown in a couple screen shots. That's the really juicy part of this story:
Microsoft didn't tell Feedbooks that it would be included in the app!
I asked Hadrien Gardeur of Feedbooks if he'd seen any website traffic from the Zune. He had seen the device show up in his logs, but he didn't know anything about the app until I told him.
MS launched an app, didn't tell anyone, haven't provided any support info, and didn't tell Feedbooks that it would be included.
This in kinda like watching a car wreck as you drive by. You can't help but stare.
P.S. I've mentioned the Zune HD before, but that was only in reference to hacking it. You see, under the Zune HD's music playing abilities lies WindowsCE, a moderately capable OS that you can use to run reading app. This is something entirely different.