Nope. There really isn't much reason to. The winters are mild, and Arizona is far enough south that there's still a good amount of daylight in the afternoons, at least compared to the northern parts of the US.

I suspect that at least some of disconnect over DST is between people living at 40-50 degrees latitude who have short winter days and those living further south.

Normally they match winter sunrise and keep it fixed all year long.