It is a circle.... to the media resolution available.
The problem is terrain is made up of a grid of nodes. This means it is like an image so has a finate resolution. Thus a perfect circle is impossible.
Infact, as maps are only 200*200 odd usually (with 400*400 being near the maximum I think), a decent circle is prety hard as it is extreemly low resolution (even your display shows about 1000*1000 pixels or more).