Can anyone explain me the difference of all and also an another question does Zend AMF support all these.
Though my answer may not be complete, it'll give you some hints.
Flash Remoting is a way of doing RPC using AMF protocol. Basicly you implement some server-side services with some methods, call them from your flex application and receive the result (using RemoteObject). Zend AMF definitely supports this.
The Message Service provides a complete publish/subscribe infrastructure allowing Flex clients and the server to exchange messages in real time. (from Wikipedia article on BlazeDS). I believe, it's mostly a Java thing, and is used for distributing messages across several clients. Making a chat is a good example of it's usage.
Data management is a set of features provided by LCDS (Live Cycle Data Services), which eases the development of CRUD. More info you can find in asnwers to this question.
It's likely Zend AMF doesn't support the latter two features, though I'm not sure.