Choosing a Single Availability Zone: You know exactly which physical area (zone) in Azure your VM is in. This is good for specific needs like compliance or performance.
No Infrastructure Redundancy: Azure decides where to put your VM, possibly in any of the available zones in a region. This is like saying, "I'm fine with any zone, you choose, Azure."
In essence, if you need to know exactly where your VM is for specific requirements, pick a zone. If you're okay with Azure deciding and possibly saving some costs, go with "No Infrastructure Redundancy."