When you create a demand for infrastructure on a planet do you have to also create a supply somewhere?

Yes

If I have a planet that has been terraformed to colony cost zero but still has redundant infrastructure, will it been seen as surplus and made available for transport without me having to manage the supply amount?

No

Generally the shipping lines can create and move infrastructure on their own, effectively making it free. There are four problems however. First, the colony has to be established by you, which at the very least means initial infrastructure. Second, you cannot control the movements of you civilian ships, so they will move additional units of infrastructure only when there is a demand on the colony, ie, the capacity has to be almost filled, or you need to have too many people. Third, moving infrastructure isn't really that beneficial to the lines, so if you have two developed planets (or have a trade agreement with another nation) they will almost certainly move goods between the developed locations, rather than infrastructure. And fourth, shipping lines look for destination only four jumps from their current location, which almost always means four jumps from the capital.