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I do not know Python well, but something like

digits=[1,2,3,4,5,6,7,8,9] <- no zero
random.shuffle(digits)
first=digits[0] <- first digit, obviously will not be zero
digits[0]=0 <- used digit can not occur again, zero can
random.shuffle(digits)
lastthree=digits[0:3] <- last three digits, no repeats, can contain zero, thanks @Dubu

A more useful iteration, actually creating a number:

digits=[1,2,3,4,5,6,7,8,9]   # no zero
random.shuffle(digits)
val=digits[0]                # value so far, not zero for sure
digits[0]=0                  # used digit can not occur again, zero becomes a valid pick
random.shuffle(digits)
for i in range(0,3):
  val=val*10+digits[i]       # update value with further digits
print(val)

After stealing pieces from other solutions, plus applying the tip from @DavidHammen:

val=random.randint(1,9)
digits=[1,2,3,4,5,6,7,8,9]
digits[val-1]=0
tail=random.sample(digits,3)

for i in tail:
  val=val*10+i
print(val)

I do not know Python well, but something like

digits=[1,2,3,4,5,6,7,8,9] <- no zero
random.shuffle(digits)
first=digits[0] <- first digit, obviously will not be zero
digits[0]=0 <- used digit can not occur again, zero can
random.shuffle(digits)
lastthree=digits[0:3] <- last three digits, no repeats, can contain zero, thanks @Dubu

A more useful iteration, actually creating a number:

digits=[1,2,3,4,5,6,7,8,9]   # no zero
random.shuffle(digits)
val=digits[0]                # value so far, not zero for sure
digits[0]=0                  # used digit can not occur again, zero becomes a valid pick
random.shuffle(digits)
for i in range(0,3):
  val=val*10+digits[i]       # update value with further digits
print(val)

After stealing pieces from other solutions, plus applying the tip from @DavidHammen:

val=random.randint(1,9)
digits=[1,2,3,4,5,6,7,8,9]
digits[val-1]=0
for i in random.sample(digits,3):
  val=val*10+i
print(val)

I do not know Python well, but something like

digits=[1,2,3,4,5,6,7,8,9] <- no zero
random.shuffle(digits)
first=digits[0] <- first digit, obviously will not be zero
digits[0]=0 <- used digit can not occur again, zero can
random.shuffle(digits)
lastthree=digits[0:3] <- last three digits, no repeats, can contain zero, thanks @Dubu

A more useful iteration, actually creating a number:

digits=[1,2,3,4,5,6,7,8,9]   # no zero
random.shuffle(digits)
val=digits[0]                # value so far, not zero for sure
digits[0]=0                  # used digit can not occur again, zero becomes a valid pick
random.shuffle(digits)
for i in range(0,3):
  val=val*10+digits[i]       # update value with further digits
print(val)

After stealing pieces from other solutions:

val=random.randint(1,9)
digits=[1,2,3,4,5,6,7,8,9]
digits[val-1]=0
tail=random.sample(digits,3)

for i in range(0,3):
  val=val*10+tail[i]
print(val)

I do not know Python well, but something like

digits=[1,2,3,4,5,6,7,8,9] <- no zero
random.shuffle(digits)
first=digits[0] <- first digit, obviously will not be zero
digits[0]=0 <- used digit can not occur again, zero can
random.shuffle(digits)
lastthree=digits[0:3] <- last three digits, no repeats, can contain zero, thanks @Dubu

A more useful iteration, actually creating a number:

digits=[1,2,3,4,5,6,7,8,9]   # no zero
random.shuffle(digits)
val=digits[0]                # value so far, not zero for sure
digits[0]=0                  # used digit can not occur again, zero becomes a valid pick
random.shuffle(digits)
for i in range(0,3):
  val=val*10+digits[i]       # update value with further digits
print(val)

After stealing pieces from other solutions, plus applying the tip from @DavidHammen:

val=random.randint(1,9)
digits=[1,2,3,4,5,6,7,8,9]
digits[val-1]=0
tail=random.sample(digits,3)

for i in tail:
  val=val*10+i
print(val)

I do not know Python well, but something like

digits=[1,2,3,4,5,6,7,8,9] <- no zero
random.shuffle(digits)
first=digits[0] <- first digit, obviously will not be zero
digits[0]=0 <- used digit can not occur again, zero can
random.shuffle(digits)
lastthree=digits[0:3] <- last three digits, no repeats, can contain zero, thanks @Dubu

A more useful iteration, actually creating a number:

digits=[1,2,3,4,5,6,7,8,9]   # no zero
random.shuffle(digits)
val=digits[0]                # value so far, not zero for sure
digits[0]=0                  # used digit can not occur again, zero becomes a valid pick
random.shuffle(digits)
for i in range(0,3):
  val=val*10+digits[i]       # update value with further digits
print(val)

I do not know Python well, but something like

digits=[1,2,3,4,5,6,7,8,9] <- no zero
random.shuffle(digits)
first=digits[0] <- first digit, obviously will not be zero
digits[0]=0 <- used digit can not occur again, zero can
random.shuffle(digits)
lastthree=digits[0:3] <- last three digits, no repeats, can contain zero, thanks @Dubu

A more useful iteration, actually creating a number:

digits=[1,2,3,4,5,6,7,8,9]   # no zero
random.shuffle(digits)
val=digits[0]                # value so far, not zero for sure
digits[0]=0                  # used digit can not occur again, zero becomes a valid pick
random.shuffle(digits)
for i in range(0,3):
  val=val*10+digits[i]       # update value with further digits
print(val)

After stealing pieces from other solutions:

val=random.randint(1,9)
digits=[1,2,3,4,5,6,7,8,9]
digits[val-1]=0
tail=random.sample(digits,3)

for i in range(0,3):
  val=val*10+tail[i]
print(val)