Thanks for the question.
I notice your dataset is in build GRCh38, but the "show in context of a pheWAS" option only works for build GRCh37.
The root cause is that the PheWAS we used was published in 2018, and as far as I know, this feature was never updated- hence, it used an older genome build. In practice, the age of the dataset means that you probably won't lose too much by the absence of this feature.
(....actually, there should have been a tooltip explaining the "only for build 37" rule, but it's not appearing for me. That's a tiny cross platform rendering bug...)