I imagine there are DRM provisions in the MTP spec to nominally hide files from non-MTP access, much as the iPod does.
Mind you, given that it has to put everything on a FAT file system, they're probably just hidden files in a hidden directory (as is the case with iPods). They could, in theory, be encrypted, though that might reduce battery life.
They did something similar with their 7xx series flash-based players (2-3 years or so ago?). They shipped with some proprietary bollix that meant using their software (for which there was a Mac version) and putting up with crude attempts at DRM, but they had a patch available that turned the player into a USB mass storage device.
Chances are the idea is that releasing the players with DRM appeases the angry giants, but the patch is available for those who care.
I recently bought a SanDisk branded USB key type player. On XP it works in the media player mode and in Windows 2k it works as if it was a USB key.
Interestingly, when in USB key mode, you cannot see the files saved while in media player mode. The player finds files copied onto it in either mode, but it is confusing and rather pointless.
The key has an option to force the player into USB key mode if desired.