What's weird isn't the sphere, it's distance, and I think that's easier to process. Going from a (1d) sidewalk to a (2d) football field to a (3d) ocean, it's easier to see our intuitions about distances slowly breaking down.
How I am understanding this is that the non-uniformity is in the cube, and I think it's very helpful in visualizing it.
I can imagine in 3d, the centers of the sides of the cube being pulled in, so that it's kind of hyperbolic looking.
The diagram on the web page is just wrong. The enclosed sphere does not poke out with "spikes".
The error in the diagram is that it shows the corner cubes "filled" with spheres, but this is not what happens in the higher-dimensional analogues. If you take a cube-shaped cross section of a 4D example (through the center), you wouldn't see the corner spheres at all.
Think of a 2D slice through the middle of the 3D example: You'd just see a square, no circles!
Wait wait wait, I thought the "cube" had the same number of dimensions as the "spheres".
But cross-sections don't look the way you think they do. So if you draw a 3D intersection through the 4D case, it looks much like the 2D intersection of the 3D case, etc...
In all such "intersection" diagrams you don't see the spheres in the corners of the cubes. The conceptual diagram on that page showing the high-dimensional case shows the corner spheres and the middle sphere somehow "squished out" in a spiky way.
This is not at all what happens.
If instead you mean most of the mass of the ball is in the points which have all but one coordinate within epsilon of zero, then the intuition doesn't follow. It's equally true that you get most of the mass considering just points with all coordinates within epsilon. And for that you get that the mass of the ball is concentrated in an epsilon cube at the origin, which excludes exactly the spikes that you were basing the intuition on. The weird thing in this thought experiment is the epsilon cube not the sphere. For example the epsilon cube contains points much further than epsilon from the origin and so it's maybe not surprising that it contains most of the sphere.
that is kind of circular argument as "random" really depends on the density measure underlying the chosen sampling distribution.
I do agree that volume and probability distribution are essentially the same.
(That's also why at my university measure theory and probability theory were handled in the same course.)