I know this is an older thread but that 'idea' has gotten a little confusing and a bit outdated (and still is not implemented).
The documentation points you to go to create a scene layer package, but this tool has been deprecated. You now have to go to:
Create Point Cloud Scene Layer Package—Data Management toolbox | ArcGIS Desktop
Here, you can bring in your LAZ file into this scene layer package that you make
And fill in the rest of the blanks with the right info. I hope ArcGIS Pro starts to natively view LAZ files!