To understand more about Avaiability zones in Azure, read the following URL.
https://learn.microsoft.com/en-us/azure/availability-zones/az-overview#availability-zones
You need to be aware that when you are using Azure, there is a shared responsibility model that is well documented. https://learn.microsoft.com/en-us/azure/security/fundamentals/shared-responsibility
Since you are using Virtual Machine Scalesets, I recommend you to follow the below reference URL and see whether you are doing it according to the documentation. https://learn.microsoft.com/en-us/azure/virtual-machine-scale-sets/virtual-machine-scale-sets-use-availability-zones
Hope this helps