Yes, that's a limitation of the current environment. I don't know that we'll see this changed, though. I just read a rant today that the beta of Wave 4 which combines Live Mesh and Live Sync, using a part of Skydrive for the cloud storage piece, does not
allow any preview of files on a PC. That functionality is available in Skydrive today for the PC, but appears to have been disabled in Wave4 specific to the Sync folders - not the rest of Skydrive.
As for the Zune HD, I don't think that you can download files to it as it isn't designed for that - however, that's a discussion for the Zune forums.
The lack of viewer functionality in m.mesh.com and the cloud storage for Live Sync Wave 4 beta on SkyDrive is something you should request by submitting feedback at
http://feedback.live.com for Live Sync.
-steve
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