Are you sure you are trying DUN? Not sure about your phone but on my WM6 phone DUN has been discontinued in favor of PAN and I thought that was accross all WM6 devices. If you are in fact using DUN, i have the bluefig applications if you want it. Just PM me.
At this time I am trying to get PAN to work on my zaurus with my WM6 phone. I can do it fine with my linux desktop so I know the phone supports it. But the weird thing is my zaurus will pair with the phone, even pull an ip with dhcp, but it will not ping the phone.