I think this is a great suggestion. However there are some things that Media Player can do, but zune can't. (equalizer, frame by frame, play speed settings, media player plugins for lyrics etc). There might be issues with completely ditching media player. But I would really like to see it happen. Add those features to Zune, and ditch media player!
Media Player is actually just showcase for DirectShow's (and Media Foundation's) capabilities. If there's anything MP can do, then WMC and Zune can do it too, just with a few minor UI modifications.
The thing is, the Zune software and WMP have a lot of overlap, but they also have reasons to exist: Microsoft cannot put online store or first-party device integration into WMP without breaking the "pure" user experience, and WMP lacks the "zune design sense" necessary to make the Zune product seem like a first-rate competitor to the iPod.
That said, if I was in charge of WMP and Zune, I would build a new product that that really extensible and skinnable. I would ship the product as WMP, but the Zune team can make use of the extensibility and skinning engine to transform the product into "WMP + Zune", thus problem solved.
Of course the optiion exists for third-parties to do the same, but as we all know, they would never do that
MSN Explorer was a joke, but it did have its users (including my own 12 year-old self in 2001). It exist as a means to sell MSN Premium subscriptions, but I used it because it was a very nice alternative client to MSN Messenger (the UI was very pretty, whereas at the time Messenger version 3 was gunmetal grey), and it also had a nice hotmail UI and download manager, so it wasn't totally useless.