Availability zones are unique physical locations within the same Azure region.
Azure availability zones can protect an Azure Data Explorer cluster and data from partial region failure.
Deploying a new cluster to different availability zones means the underlying compute and storage components are deployed to different zones in the region with independent power, cooling and networking. In a case of a zonal downtime the cluster will continue to work, but it might have performance degradation until the failure will be resolved.
In addition, you can use zonal services which means allowing to pin an Azure Data Explorer cluster to the same zone as other Azure resources that are used in conjunction with that cluster.
Deployment to various or specific availability zones can be done only during cluster creation and it cannot be modified later.