Consider complex plane and unit sphere $\mathbb{S}^1 = \lbrace z \in \mathbb{C} : |z|^2 = 1 \rbrace$. It is quite simple that for example by a parameterization, we have
$$\int_{\mathbb{S}^1} z\, d z = \int_{0}^{2\pi} e^{i \theta} \, d\theta = 0.$$
Same goes for $z^k$ where $k \in \mathbb{N}$. I'm wondering, how does it work in higher dimensions. So consider $\mathbb{C}^2$ and a unit sphere $\mathbb{S}_{\mathbb{C}}^2 = \lbrace z \in \mathbb{C}^2 : |z_1| ^2 +|z_2|^2 = 1 \rbrace$ (which I think works like $\mathbb{S}^3 \subset \mathbb{R}^4$, right?) equipped with an $SO(4)$-invariant measure d$m$. How can I calculate for example
$$\int_{\mathbb{S}_{\mathbb{C}}^2} z_1{z_2}^2\, dm?$$
Can I find the right parameterization there, too? Or should I translate this to real numbers and use spherical coordinates?
First of all, the complex integral is not an integral with respect to the invariant (or any other) measure. Indeed, for a path $\gamma$ from $z_0$ to $z_1$, $\int_{\gamma} 1 dz= z_1-z_0$, but $\int_\gamma 1 dm$ is a real non-negative number.
This is reflected in the fact that if $z=e^{i\theta}$ then $dz=i e^{i\theta} d\theta$ (note that this way $\int_{S^1} z^{-1} dz=\int_0^{2\pi} i d\theta=2\pi i$, as it should be).
So you have to decide which integral -- over $dz$ or over $dm$ -- you want. In either case, one can say that the integral of $z^k$ over the circle is zero because it is a complex number invariant under rotations (except of course $\int_{S^1} z^{-1} dz=2\pi i$ and $\int_{S^1} 1 dm=2\pi$). Namely, if we fix a complex number $\alpha$ with $|\alpha|=1$, the variable substitution $w=\alpha z$ gives $\int_{S^1} z^k dm=\int_{S^1} w^k dm=\int_{S^1} \alpha^k z^k dm=\alpha^k \int_{S^1} z^k dm$. If $k\neq 0$ this is only possible if $\int_{S^1} z^k dm=0$.
This is applicable to any complex monomial integrated over $SO(2n)$-invariant measure on the unit sphere -- pick any variable $z_j$ not in zeroth power and rotate the space by $z_j \to \alpha z_j$.