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Contact Sony directly regarding this issue
http://support.sonymobile.com/global-en/contactUs/
@Rickard if you get a chance could you check this?
had this also with brazilian daylight time. whene i put in automatic hour and automatic daylight it would change the timezone to another estate and add an hour. Strangely, i rebooted the device few times and it correct itself after. was getting mad. see if it chages for you too after a day.
Sorry to hear that it's showing wrong timezone.
If restarting the phone doesn't help, please take a backup of your phone and then perform a repair of the phones software using PC Companion. I believe this should help.
Also see this thread: http://talk.sonymobile.com/t5/Xperia-Z2/5-0-2-For-Moscow-Time-Zone-GMT-4-00/m-p/965497
@Rickard
Lollipop 5.0.2 for xperia Z1 compact contains tzdata 2014g, actual version is 2015c
Unfortunately, Google does not allow third party applications to change the time zone settings. It would be good practice to release timezone updates
Which time zone is showing wrong time in your phone? Could you post a screenshot of the issue from Settings -> Date & time?
In the Z2 forum we got two reports of Moscow showing as +04 after the update but a repair with PC Companion fixed that so it's showing correctly as +03.
But regarding updates of the tzdata, i believe you will need to wait for future software updates.
@Rickard. here is my phone's settings.
It's a known issue. see https://code.google.com/p/android/issues/detail?id=80147 but Google considers it unrelevant.
There are two ways to solve this problem on this time:
1. Turn off autodetect timezone and using different timezone with correct offset
2. Custom firmware ( with a chance to turn smartphone into a brick :smileysmileywink:
The complete solution can only be a regular release timezone updates, regardless of Google. I hope someday it will happen 
Are those incorrect? All internet services i checked also displays those 3 as +04 and Moscow is displayed as +03 in the phone.
For example:
http://www.timeanddate.com/time/zone/united-arab-emirates/dubai
http://www.timeanddate.com/time/zone/armenia/yerevan
http://www.timeanddate.com/time/zone/georgia/tbilisi
But as i understand it, updates of this data in the phone are made when it's updated in Android.