Any ideas about why Desmos/Wolfram Alpha) does not show $(0,0)$ as a part of the curve $$2^2 x^2 + 4^2 y^2 = (x^2 + y^2)^2$$ will be appreciated.
Am I missing something or is it a bug?
Not, it's not a bug. Yes, $(0,0)$ belongs to that curve, but it is an isolated point of the curve. In other words, no nearby point belongs to the curve. That's why you can't see it.