These are the circles $\Vert x \Vert = a, a > 0$ for various norms of the form $ \Vert x \Vert = \left(\sum_i |x_i|^p \right)^{1/p} $
And the $p = 1/2$ norm is not a norm, because it does not satisfy the triangle inequality : $$ \Vert x + y \Vert \leq \Vert x \Vert + \Vert y \Vert $$ And the set, with the fixed norm is not convex, whereas for other cases it is.
Does it hold for any norm, that the level set with the fixed norm is convex in order to satisfy the triangle inequality?