I think that's about right for an HD video. I don't think the Zune software converted the video as it's not past 1280x720, and it's an WMV file.
The Zune software let's you choose either to convert it for the HD dock, or for the Zune player. If I chose the Zune player, then the size will be 20MB. However, since the file is smaller, the quality will be worse.