No he didn't play it. As far as I know, computers are already far ahead of humans in chess, so a further progress in this wouldn't really make a difference.
It would be interesting in one way though:
Magnus says he hates playing against computers, because "it's like being beaten by an idiot". Modern chess engines still make moves that are somewhat strategically weak, but they make up for it with amazing tactics.
It would be interesting to hear if Magnus thought AlphaZero played less like an idiot.