The ZuneHD was never hacked at all. If I remember correctly (and I was big on the Zune scene), the Zune devices had far superior security software that was never cracked. Not saying it wouldn't have been possible if more people cared about development for the Zune (it had nowhere near as much following as iPhone and iPod).
Microsoft never gave out a full SDK for the Zune, only access to limited functions in XDA. There wasn't even support for 3D games...
But Zune fanatics were able to find a more "back door" method to hacking the Zune. They created OpenZDK, which allowed for more access to what the Zune can really do. It was almost like a partial hack (which you'd be used to if you're in the PSP hacking scene).
Through OpenZDK, you were able to develop software that better used the Zune's potential (that MS never tapped into). Developers could make 3D games, and even make an emulator. Now my ZuneHD crapped out on me before I could try the GBA emulator, but I used the crap out of it when it was just GB/GBC. I still prefer it over anything I've used on iOS and Android. The only downfalls were that you had to save the normal way, no fast forward, and no sound.
If Microsoft had given more freedom for developers in XNA, then they would have used that to make VBZ and it'd probably be easier to port to Windows Phone.
Microsoft just really messed up with the Zune.