When setting up direct debit for my taxes owed both to to Fed and AZ state, it says my payment of $0 will be deducted, but I owe $897 to Fed and $133 to AZ state. Why?

Taxes owed and filing fee are different.
The zero (0) payment at the time of e-filing indicates you are allowed to file both returns (Fed and State) for free, no charge.  
The amount of taxes you owe is a separate issue.  The taxes owed to Fed and State will not be 'directly debited' from your bank account.  You'll be able to pay by credit card (which can be a debit card) or print the Payment Voucher for Fed and State, and mail the voucher with a check to the Federal and State governments.

This issue is being worked on right now. Sign up at the link at the bottom of the FAQ below for updates when it is fixed.

https://ttlc.intuit.com/replies/6606912