By default, the #WVD template deploys the session hosts in an availability set. This will spread the workload between different fault domains and update domains in a single Azure DC. This protects you from local failures such as top of rack switch outages, but doesn’t protect you from full DC outages (think flood, hurricane…). Availability Zones are different physical DCs in a single Azure region.
In this post Nills Franssens ( @NillsF ) walks you through his personal way on how to setup #WindowsVirtualDesktop in availability zones: https://blog.nillsf.com/index.php/2020/03/09/setting-up-windows-virtual-desktop-in-availability-zones/