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;