These zones are logically and physically seperate zone within an Azure region having a dedicated power, network, cooling. 3 zones are supported within an Azure region. Not all azure regions have availability zones.
Availability Sets
Every VM in the an azure data center will be placed in a different rack meaning it would have different physicla server, storage, network device, it is called Availability Set.
If whole data center goes down then your Availability sets will be gone too.
VMSS
The VMSS lets you create and manage load balanced virtual machines in a group.