It's because "latitude lines" aren't really lines in this context (except the one at the equator).
If you took two points from one of those latitude "lines", you'd always be able to find a shorter path between them than the path along the latitude. If you take the shortest path between the two points and extend it all the way around the sphere, you'll end up with a great circle. That great circle is an actual "line" in this geometry.
If you took two points from one of those latitude "lines", you'd always be able to find a shorter path between them than the path along the latitude. If you take the shortest path between the two points and extend it all the way around the sphere, you'll end up with a great circle. That great circle is an actual "line" in this geometry.
https://en.wikipedia.org/wiki/Spherical_geometry