from my experience it seems that this has some relation to the Studio RGB vs Computer RGB ranges. The range of Studio RGB is from 16 to 235 and Computer RGB is from 0 to 255. While the MPEG2 obeys the Studio RGB and when played on computer they expand the range to fit to the computer RGB, the WMV and MP4 originated as a computer formats so they take the encoded material as it is in Computer RGB and do not do any range expansion - so the color black in Studio RGB (16) is not translated to 0 but stays at 16 resulting in grey color. Solution to this is to expand the color range before encoding to WMV by using the Sony Levels filter.
I have met one software player which did the range expansion for WMV - it was Nero Show Time (v6) - but it did the expansion only if the hardware decoding was not used. I do not see this option in the version 7 however.
What you are seeing is what happens to the colorspace after you render to a format with a different colorspace. Use the Sony color correction filter and the "Studio RGB to Computer RGB" preset to compensate. It will look oversaturated until you render, and then the color will look pretty close.
Also, if you are rendering a wmv or mp4 at lower resolution, a generous bit of sharpening during the downrez will work wonders.
My standard procedure is to use both the Studio RGB to Computer RGB and a bit of sharpening when I render wmv or mp4 files, especially from HDV.
Don't do it with the brightness and contrast controls because it will blow out your highs unneccessarily. The color correction filter works much better and all you have to do is call up the preset.