On Wavefunctions of Hydrogen atom
Now, does that imply that if the value of $|\Psi|^2$ is maximum at a
  point, the electron is most likely to be found at that point?


It certainly does imply something similar to what OP is saying, but not quite. As always in quantum theory one has to be very careful with his or her wordings. Namely, we are talking about a continuous random variable here, so the only probability which makes sense is that of it falling within a particular range of values, i.e. probability of finding an electron in some infinitesimal element of volume $\mathrm{d}V$ centered at a particular location $r$ and not on this single point. Still, if you divide the whole space into volume elements of an identical (infinitesimally small) size, the bigger the value of $|\Psi|^2$ is, the bigger is the above mentioned probability.



Now to the actual findings. So, for an electron occupying the $\mathrm{3d}_{z^2}$ orbital, the probability of finding it in an infinitesimal element of volume $\mathrm{d}V$ centered at a particular location $r$ is given as $|\Psi|^2 \mathrm{d}V$, where $|\Psi|^2$ is the probability density. We analyze the probability density 
$$
|\Psi|^2
=
N^2 \sigma^4 \mathrm{e}^{-2\sigma/3} (3\cos^2\theta-1)^2 \, ,
$$
or, more precisely only its angular $(3\cos^2\theta-1)^2$ part. So, when does this expression have its maximum value? The global maxima are at $\theta = 0$ and $\theta = \pi$, i.e. alongside $z$-axis, plus there are local maxima at $\theta = \pi/2$ and $\theta = 3\pi/2$, i.e. in a plane perpendicular to $z$-axis. 1





From the discussion with OP, it seems it must be noted that terms "probability density" and "probability" are defined with respect to a particular random event. Above we analyzed the probability density of finding an electron in an infinitesimal element of volume $\mathrm{d}V$ centered at a point $r$. The radial distribution function arises when considering a probability of a different event, namely, the probability of finding an electron between two concentric spheres of radii $r$ and $r + \mathrm{d}r$. We start from the probability of finding an electron in infinitesimal volume element $\mathrm{d}V$ at a point $r$
$$
  |\Psi|^2 \mathrm{d}V
  =
  \underbrace{R_{nl}^2(r) |Y_l^m(\theta, \phi)|^2}_{|\Psi|^2}
  \underbrace{r^2 \mathrm{d}r \sin\theta \mathrm{d}\theta \mathrm{d}\phi}_{\mathrm{d}V} \, ,
$$
and integrate out $\theta$ and $\phi$ dependences
$$
  \int\limits_{0}^{2\pi} \int\limits_{0}^{\pi}
  |\Psi|^2 \mathrm{d}V
  =
  \int\limits_{0}^{2\pi} \int\limits_{0}^{\pi}
  R_{nl}^2(r) |Y_l^m(\theta, \phi)|^2
  r^2 \mathrm{d}r \sin\theta \mathrm{d}\theta \mathrm{d}\phi \, .
$$
And since the spherical harmonics $Y_l^m$ are normalized (to unity)
$$
  \int\limits_{0}^{2\pi} \int\limits_{0}^{\pi}
  |Y_l^m(\theta, \phi)|^2 \sin\theta \mathrm{d}\theta \mathrm{d}\phi
  =
  1 \, ,
$$
for the probability of finding an electron between two concentric spheres of radii $r$ and $r + \mathrm{d}r$ we simply get
$$
  R_{nl}^2(r) r^2 \mathrm{d}r \, .
$$
The corresponding probability density is, of course, $R_{nl}^2(r) r^2$. Such analysis is different from what we did above for the angular $\theta$ dependence: we simply ignored the radial and the other angular dependence instead of integrating them out. This ignorance makes our analysis a bit rough, but not worthless: at least we were able to identify some general trends in the angular $\theta$ dependence.



1) See Wolfram Alpha for details.