Azure SQL Database is a PaaS service - so you don't manage it on the VM level. It does support availability zones.
As you pointed out, this translates into zone redundancy - that is accomplished by implementing the service into availability zones. It's really more a matter of wording - regardless of it, the availability zone support means that the service will remain operational even in a scenario where one or two datacenters in the corresponding Azure region fails.
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hth
Marcin