Guernsey is part of the Channel Islands and is not technically part of the UK.
It's allegiance is to HRH but it runs its own affairs.
Have a look at this page:
http://bit.ly/aRCVWB
and especially here:
"under the UK's accession treaty with the EU, Guernsey forms part of the single market but is outside the EU fiscal area"
Therein is the point. It appears that HMV can use it for shipping to the UK as there is a double taxation arrangement but to the EU as a whole Customs Duties appear to be applied.
I am surprised there is nothing about it on the HMV website.
For the purposes of avoiding this in future make sure that you order from some outfit like amazon.co.uk or amazon.de that is fully resident within the EU proper!!!!!