(a) The inequality $|z|$ being less than $\frac{1}{3}$ is not strict (Absolute Value, P-Series, Comparison)
Suppose $|z| = \frac{1}{3}$ - it is on the boundary of the radius, and $y = \mathrm{Im}\, z$.
Then we have $\displaystyle \sum_{n=0}^\infty \frac{3^nz^n}{n^2 + 1} = \sum_{n=0}^\infty \frac{3^n(|\frac{1}{3}|(\cos y + i \sin y))^n}{n^2 + 1} $
$\displaystyle= \sum_{n=0}^\infty \frac{3^n(\frac{1}{3})^n(\cos y + i \sin y)^n}{n^2 + 1}$
$\displaystyle= \sum_{n=0}^\infty \frac{1(\cos y + i \sin y)^n}{n^2 + 1} = \sum_{n=0}^\infty \frac{(\cos ny + i \sin ny)}{n^2 + 1}$ by De Moivré's Theorem.
Then, test absolute convergence:
$\displaystyle= \sum_{n=0}^\infty \frac{|(\cos ny + i \sin ny)|}{|n^2 + 1|}$
$\displaystyle= \sum_{n=0}^\infty \frac{1}{|n^2 + 1|} < \sum_{n=0}^\infty \frac{1}{|n^2|}$. Note $\displaystyle \lim_{n \to \infty}\left|\frac{1}{n^2 + 1}\right| = \lim_{n \to \infty}\left|\frac{1}{n^2}\right| = 0$
As the series is absolutely convergent when $|z| = \frac{1}{3}$, the inequality is not strict. Hence, the series converges for $|z| \leq \frac{1}{3}$ (Comparison and P-series).
(b) The series converges only when $|z| == 0$ - the inequality isn't strict. At that value, all the terms are zero.