You're reading the documentation for an older, but still supported, version of ROS 2. For information on the latest version, please have a look at Jazzy.
Non-DDS-Implementations
Working with Zenoh explains how to utilize Zenoh.
If you would like to use one of the other vendors you will need to install their software separately before building. The ROS 2 build will automatically build support for vendors that have been installed and sourced correctly.
Once you’ve installed a new RMW vendor, you can change the vendor used at runtime: Working with Multiple RMW Implementations.