> EA studio has a trading session setup tool. Which local time zone do they support if I use Premium historical data that EA studio provides?

The Trading Session and all other time-related features or indicators use time from the data set.

Usually, we import data from MT, and they come with the correct timezone.
We can change the timezone of the Premium Data from the Data pages.

> I could not find a time zone setting place. Please help me.

You can change the timezone from the "Data" => "Premium data" page.