Hi jameson_uk
Sorry for not seeing this earlier. We've been readying ourselves for the UK Sonos launch.
You've basically just hit on about the only 2 downsides to this system.
Yes, you need a physical connection to the first ZonePlayer.
And yes, currently, all ZonePlayers include amplifiers.
For people with a decent sounding PC setup and a hifi in the living room, this isn't obviously ideal.
The other limitation is that it wont currently play music with DRM. It's just yet another reason to avoid DRM in my opinion.
However Sonos is the easiest system we've used to date. It has high WAF and the remote is simply lovely. It's just about the easiest way of getting music around the rest of the house that we've come accross.
For techies like us, we're currently considering stocking the SlimDevices Sqeezebox2 that's just launched. It seems a great player although Sonos' strapline of "No HEX keys. No WEP keys. No SSID" could hardly apply

Sqeezebox1's DAC got poor reviews but they reckon they've sorted it this time. We've yet to hear one.
Have you seen the Sqeezebox? There's a new Roku that might be worth a look too.