Once your phone is up to Mango, existing Zune installation 4.7 will prompt for an update and throw the error "Can't find the media for installation package 'Zune WMDU Component'. It might be incomplete or corrupt" as above. This is expected.
Install Zune 4.8 Beta Release, this will install over your existing Zune 4.7 and you will sync just fine with your phone.
Download ZuneBeta [253mb split into 3 files]