It's supposedly/rumored to be the next generation Zune. Supposed to come out some time in the fall. Microsoft hasn't confirmed it or denied it.
EDIT: To answer you original question. When you format the Zune you lose all content, including preloaded. When you tell it to go to the default wallpaper it's probably trying to find it but since you formated it can't find it and defaults to a black screen. So no, you Zune is not broken.
I'll try to find the preloaded content for you. It's got to be around here somewhere...
EDIT²: Try this one
http://download.microsoft.com/downlo...oadContent.zip (This may be the one you downloaded earlier, I'm not sure...)