WOLOG, consider the case $\begin{cases}
F_1 &= (+\sin\alpha,0,\cos\alpha),\\
F_2 &= (-\sin\alpha,0,\cos\alpha)
\end{cases}$ with $\alpha \in (0,\frac{\pi}{2})$ and the sphere is the unit sphere.
Let $2\theta \ge 2\alpha$ be that constant for the sum of geodesic distances to $F_1$
and $F_2$. For any point $p = (x,y,z)$ on the locus. we can find a $\tau$ such that
$$
\theta + \tau = \text{dist}(p,F_1) = \cos^{-1}(\cos\alpha z + \sin\alpha x)\\
\theta - \tau = \text{dist}(p,F_2) = \cos^{-1}(\cos\alpha z - \sin\alpha x)
$$
This leads to
$$\cos(\theta\pm\tau) = \cos\alpha z \pm \sin\alpha x
\implies
\begin{cases}
\cos\theta\cos\tau &= +\cos\alpha z\\
\sin\theta\sin\tau &= -\sin\alpha x
\end{cases}
$$
and hence
$$\left(\frac{\cos\alpha}{\cos\theta} z\right)^2 + \left(\frac{\sin\alpha}{\sin\theta} x\right)^2 = (\cos\tau)^2 + (\sin\tau)^2 = 1$$
Let $A = \tan\alpha$ and $D = |\tan\theta|$, we can rewrite this as
$$z^2 + \frac{A^2}{D^2} x^2 = \frac{1+A^2}{1+D^2}
\quad\iff\quad \frac{x^2}{D^2} + \frac{y^2}{D^2-A^2} = \frac{1}{1+D^2}\tag{*1}
$$
$\require{enclose}\newcommand{\mybox}[1]{\enclose{roundedbox}{\;#1\;}}$
Geometrically, there are several possibilities
$\mybox{\theta = \alpha}$
$D = A$, $(*1)$ reduces to $y = 0$ and $|x| \le \cos\alpha$.
The locus is a circular arc joining $F_1$, $F2$.
$\mybox{\alpha < \theta < \frac{\pi}{2}}$
$A < D < \infty$, $(*1)$ reduces to the equation of an ellipse.
The locus lies on the upper-hemisphere. It not only looks like an ellipse, it is an ellipse if you project it to the $xy$-plane.
$\mybox{\theta = \frac{\pi}{2}}$
$D = \infty$, $(*1)$ reduces to $x^2 + y^2 = 1$. The locus is the equator.
$\mybox{\frac{\pi}{2} < \theta < \pi - \alpha}$
$A < D < \infty$ again, the locus lies on the lower-hemisphere. Once again, it is an ellipse if you project it to the $xy$-plane.
$\mybox{\theta = \pi -\alpha}$
$D = A$ and once again, $y = 0$ and $|x| \le \cos\alpha$. The locus is a circular arc joining the antipodal points of $F_1$ and $F_2$.
Update
At the end is a picture showing how the family of loci qualitatively look like.
The plot is generated for $\alpha = 30^\circ$ with $\theta$ start at $30^\circ$
increasing with step $5^\circ$. The loci whose $\theta$ is an integer multiple
of $15^\circ$ is colored in black and the one for $\theta = 90^\circ$ is in white.
Please note that the plot is partially transparent. If you look carefully,
you can see the locus for $\theta = 90^\circ$ behind the back of sphere.
This locus doesn't have any strange feature and it is simply the great circle at equator!
$\hspace1.0in$ 