See here. It’s an important issue, but their plot has two huge problems:
1. The big fat circles in the diagonal axis are conveying no information and are, to my eye, a distraction.
2. They forgot to to order the variables, as a result creating a confusing pattern. Try reordering to put the highly-correlated variables together (as Tian did for Figure 8 in our article).
They also gave the variables unreadable abbreviations. This is not specifically an error with the correlation plot but it’s a common mistake that can easily be avoided.
P.S. More here from Eduardo and John.