A short informal answer:
The distance vector $\Delta S$ between two close (differential) points is
\begin{equation}
\Delta S = (\Delta x, \Delta y, \Delta z).
\end{equation}
The arc length is (2-norm of the distance)
\begin{equation}
ds = \| \Delta S \| = \sqrt{\Delta x^2 + \Delta y^2 + \Delta z^2}
\end{equation}
The actual differential for $s$ as parametrized by $t$ is
$ds = (ds/dt) dt$. That is we have
\begin{equation}
ds = \frac{ds}{dt} dt = \sqrt { \left ( \frac{dx}{dt} \right)^2 + \left ( \frac{dy}{dt} \right )^2 + \left ( \frac{dz}{dt} \right )^2 } dt.
\end{equation}
The integration comes as the formula given above in the question.
Now, the spherical coordinates are parametrized as:
\begin{eqnarray}
x &=& r \sin \theta \cos \phi \\
y &=& r \sin \theta \sin \phi \\
z &=& r \cos \theta.
\end{eqnarray}
Here $r$ is the radial distance, $\phi$ is the azimuthal angle $0 \le \phi < 2 \pi$, and $\theta$ is the polar angle being $0$ at the north pole and $\pi$ at the south pole.
The figure below shows the symbols on this parametrization as well as the
three fundamental differentials along the $r, \phi$, and $\theta$ directions.

While by using the chain rule we find an algebraic way to get to the equation, we could use a geometrical argument in the figure. That is, to understand the element of distance we can from the Figure as the diagonal of the spherical cube from
$(r, \theta, \phi)$, to $(r+dr, \theta d \theta, \phi + d \phi)$.
The differential element along the $r$ direction is $dr$, the differential element along the $\phi$ direction is $r \sin \theta d \phi$, and the differential element along the $\theta$ direction is $r d \theta$ then by the distance formula:
\begin{equation}
ds = \sqrt{(dr)^2 + r^2 \sin^2 \theta (d \phi)^2 + r^2 (d \theta)^2}.
\end{equation}
Then $ds/dt$ is
\begin{equation}
\frac{ds}{dt} = \sqrt{ \left ( \frac{dr}{dt} \right )^2 +
\sin^2 \theta \left ( \frac{d \phi}{dt} \right)^2 +
r^2 \left ( \frac{d \theta}{dt} \right )^2}.
\end{equation}