I cant say Radio is the future of MP3 , but yes, FM Radio has a special place in the Music world. And this feature in Zune also make it special. I think, people will always like FM radio, because of its good Sound quality and local content which will make them feel its their own City's radio. And a surprise element will always be there while listening to radio, as you unexpectedly happen to listen to your favorite song. And also you can request songs, participate in contests etc. Also a kind of time watch for those who regularly listen to it.
Actually once dead Radio is revived by the numerous FM Radio stations.
And if Zune can provide Recording facility in its future versions, many will record songs, talk shows etc. from their built-in FM Tuner. And yes as you said, we happen to hear new songs first on the radio.
Coming to the point of weak reception, I think it'll also depend on your headphones cord which I think act as sort of aerial to catch the transmission better. Correct me , if I am wrong.
Also it'll depend on Proper tuning. Yes, Zune has auto tuner, but some stations are available on even numbered frequency and if you have set your region as North America, then it may not properly tune. Because when set to this region, it tunes in the range of 87.5 MHz - 107.9 MHz in the steps of 0.2 MHz, so even numbered stations (though rare) are not properly tuned.
So just check this tip for properly tuning (more suitable for those having Zune)
outside N. America) Zune FM Radio Tip