zsh-autosuggestions: How to install zpty module?
Solution 1:
zpty is a module that comes bundled with Zsh since version 3.1. That text you quote just means that if you use a Zsh version older than 3.1, then you cannot use that particular feature of zsh-autosuggestions.
If you do use Zsh 3.1 or later, then there's nothing you need to do. zsh-autosuggestions takes care itself of loading zpty when it needs it.