Dave Bermingham runs some tests:
What makes this interesting is that you can now build shared storage based failover cluster instances that span Availability Zones (AZ). With cluster nodes residing in different AZs, users can now qualify for the 99.99% availability SLA. Prior to support for ZRS, Azure Shared Disks only supported Locally Redundant Storage (LRS), limiting cluster deployments to a single AZ, leaving users susceptible to outages should an AZ go offline.
There are however a few limitations to be aware of when deploying an Azure Shared Disk with ZRS.
Dave also checks to see how their performance compares to locally-redundant storage.