do i need to set an appointment for an Arizona road test?

You don't "need" to but you should.

Of course not. You can just walk in to the testing center, wait in line, and ask if they have any open spots available for the road test right now. You'll probably have to do this all day every day for several weeks or maybe months, but sooner or later you'll get lucky.

Or you could do it the easy way and set up an appointment, but there's no law saying you have to do it that way.

Yep