I'm not certain I know what you mean, but it doesn't seem to work. If you mean to take epsilon neighborhoods in Euclidean norm of the axes, then I'm skeptical that that contains most of the mass of the sphere, since simulating random points on a thousand dimensional sphere doesn't seem to give points near these axes.

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.