I have two zoned hot water baseboard heating. There is air in one of the zones (slushing noise). The zone lever is set on closed. I tried reversing one of the lever close valves, which put it in an open position. Then I drained using the blue drain valve. When all done, I turned the lever gate valve back to closed, shut off the blue valve, removed the hose and tried it out. It seemed the same, still air in the system.

What did I do wrong

You need to bleed the system. Look on the baseboards for bleeded screws. Leave the make up water on so it will add water to replace the air space during the bleeding.