The method is listed as available since kernel 4.18.  Perhaps it is not
set up in the kernel crypto config?

$ cat /sys/block/zram0/comp_algorithm
[lzo-rle] lzo

$ grep zstd /etc/conf.d/zram-init
algo0=lzo-rle # zstd (since linux-4.18), lz4 (since linux-3.15), or lzo.
           # Size: zstd (best) > lzo > lz4. Speed: lz4 (best) > zstd >
lzo algo1=zstd
algo2=zstd
algo3=zstd
algo3=zstd