What is the purpose of the grey sphere that is in the middle of the loading plot?

The grey sphere serves a similar purpose to correlation circle in 2D visualization. It helps users to quickly identify features above a certain threshold (0.5 by default) and reduce visual occlusion. The threshold can be changed in “Advanced Options” dialog, “Sphere” tab.

Left fig shows the default 0.5 threshold; right fig shows adjusted 0.8 threshold to further reduce the features in the plot