How to migrate Azure VM From Availability Set to Availability Zone?

Availability zones
Azure availability zones are physically separate locations within each Azure region that are tolerant to local failures. Failures can range from software and hardware failures to events such as earthquakes, floods, and fires. Tolerance to failures is achieved because of redundancy and logical isolation of Azure services. To ensure resiliency, a minimum of three separate availability zones are present in all availability zone-enabled regions.

Link: https://docs.microsoft.com/en-us/azure/availability-zones/az-overview

Step by step migrate File server VM From Availability Set to Availability Zone?

Here is will migrate Azure File Server (Availability Set)

Server Name: FileServer
IP Address: 10.1.0.10

Public IP Address: 20.187.250.80

Stop and deallocated VM first

Stopped (deallocated)

Once stop and deallocated VM, Snapshots the disks 

In Resource Group, Demo, Select FileServer Disk

Delete FileServer naming VM and Disk

Select FileServerSSD create Zone disk

Create New Availability Zone VM

Once create the New Availability Zone VM, please stop and deallocated VM. Will use the configuration of the old one. Attach the NIC of the original VM and finally attach the zone-based disks.

Swap OS old FileServer disk

You can see the same of old one File Server configuration:
Server Name: FileServer
IP Address: 10.1.0.10
Public IP Address: 20.187.250.80

Looks good to me! After you verify that everything is working, delete the old disks and the snapshots.