I don't entirely understand your issue from your description but at a guess - Possibly adjust your symbology classes or set a min-max stretched symbology or rerun the analysis with a larger search radius.
I can only guess that the area pictured is the minimum bounding rectangle(extent) of your input features.
Perhaps alter the Extent geoprocessing environment setting to 'same as display' or that of an appropriate layer.
Did anything change as a result? Are you overwriting the layer or creating a new output? (ensure the output is added to the map)
Are you able to provide clearer screenshots of the input data you're creating the kernel density from?
I'm also going to point out that it seems you're running density analysis whilst in WGS84 coordinate system, you should be using a planar coordinate system, as the output will be pretty meaningless otherwise.