I've only ever seen the Riemann Surface for $\sqrt z$ described as below, with the $z$-axis typically being the $x$ or $y$ coordinate of $\sqrt z$.
This embedding into $\mathbb{R}^3$ has intersection points however. For example, if our $z$-axis represents the $x$-coordinate, then both $i$ and $-i$ have the same $x$-coordinate ($0$), so they will be projected onto the same point in $\mathbb{R}^3$.
It seems however, that if we use the $z$-axis to represent the angle, then we can't have intersections (both roots of any number have a different angle). Am I missing something? In my mind, it seems like this picture would look like a small portion of the Riemann Surface for $\log z$, growing from $0$ to $2\pi$. However, this creates a boundary... and I'm really confused at this point. I hope some of you could follow this train of thought.