Some one in the Creative forum has answered me. He says there are technical reasons. FYI:
<<There are technical reasons. The filesystem is supposedly optimized for an MP3 players (usually 5-10 MB files accessed in a more or less sequential way). Is this special filesystem that makes the external-HD feature not as easy to implement as it seems. >>
As I explained to him, it is not what I was looking for. Here is my answer to him:
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Ok. I guess optimization has to be very important, because the functionality we would gain is enormous.
Right now, I can't edit a Word document stored into the Zen NX. I can't run a setup.exe (or whatever) stored in the handheld. I can't tag or play the music using my favorite PC jukebox (Media Center, it is awesome). And I need twice HD space to store the music (in the laptop, and in the Creative Jukebox).
The problem is my 40 GB HD has become short to store OS, software, documents, pictures, and music. I thought investing 350 $ in the Jukebox ZEN NX would solve my problems. It does not.