There are actually two different visualizations that can create many lines.
The first is anisotropy. You'll see many semivariograms based on directional distance if you turn "Anisotropy" to True and "Show search direction" to False, as in this graphic:
The second way is the "Show all lines" option that shows all directional local polynomials in Local Polynomial Interpolation (the idea is that the semivariograms should pass through the middle of these polynomials):