zsh-autosuggestions: How to install zpty module?
zpty is a module that comes bundled with Zsh since version 3.1. That text you quote just means that if you don't have Zsh 3.1 or later installed, you cannot use that particular feature of zsh-autosuggestions.
If you do have Zsh 3.1 or later installed, then there's nothing else you need to do to use that feature. zsh-autosuggestions takes care itself of loading zpty when it needs it.