Works fine for me.  In Base SAS, run the program, then look at the Results tab, lower left, and there should be G3d: Sphere output.  Or do you mean the graph is not showing any points, well thats probably twofold.  Firstly you have no z axis data other than one variable, hence it will be flat at 2.  secondly you would need to use the proc g3grid first on the data.  Try this program.  I randomly create z (height) to show an output:
data sphere;
  call streaminit(123);
  do u=0 to 2*constant("pi") by 0.02;
    x=2*cos(u);
    y=2*sin(u);
    z=rand("Uniform");;
    output;
  end;
run;
proc g3grid data=sphere out=sphere2;
   grid y*x=z / spline;
run;
title "Sphere";
proc g3d data=sphere2;
  plot y*x=z;
run;