According to the Arizona website,
Arizona has recently (August 26, 2021) updated their information regarding the Unemployment exclusion:
"Arizona taxpayers who received unemployment benefits during 2020 and filed their Arizona tax return before the March 11, 2021 enactment of the American Rescue Plan Act of 2021 must amend their 2020 Arizona tax return to receive a refund of the amount of Arizona income tax they overpaid. Arizona taxpayers who received unemployment benefits during 2020 and filed their Arizona income tax return after March 11, 2021 most likely already received the benefit of the unemployment exclusion and should not file an Arizona amended return.
Regardless of whether they filed before or after March 11, however, Arizona taxpayers who received automatic federal income tax refunds of unemployment benefits from the IRS should amend their 2020 Arizona income tax return."