It very simply and clearly states the following:
I am automatically opted in and would have had to opt out (typical).
As a member I MUST comply with document requests (not typical).
It is certainly permissible to subject class members to discovery obligations like a party in any other lawsuit. Also, even if you were not a party, any party to the action could subpoena you anyway. Membership in the class is notable because it subjects you to the jurisdiction of the court, so the subpoena or discovery rule equivalent could be imposed by the primary court rather than with the cooperation of another court with jurisdiction over you using "letters rogatory" or the extended subpoena jurisdiction of the federal courts relative to state courts.
The fact that you are a member of the class unless you opt out, and hence didn't affirmatively consent, is also not very material. People are involuntarily named as defendants and required to comply with discovery requests all the time (although arguably defendants can default and have a judgment enter against them rather than contesting liability which exposes them to discovery).
Maybe as a followup question, what would happen if I didn't comply?
Would I be in contempt of court?
It depends upon the nature of the discovery request.
Normally, Arizona Rule of Civil Procedure 37 governs the sanctions for non-compliance with discovery and those include many possible sanctions other than contempt of court in particular situations for particular kinds of defaults, although there are circumstances when defying a court order related to discovery such as a motion to compel could give rise to contempt of court sanction. I don't know if the Arizona Tax Court has special rules on this subject. I've never heard of a class action brought in a state tax court.
Contempt of court sanctions are the pretty much exclusive remedy when a non-party fails to comply with a subpoena issued by a party.