 Solution

For $N=2$, take the normalized Pauli operators as the traceless basis. The matrix associated with a vector $s$ is $\rho =I/2+s\cdot \sigma$, where these basis matrices are the usual Pauli matrices divided by $\sqrt{2}$. Their multiplication relations giveAt radius $1/\sqrt{2}$, these eigenvalues are one and zero. Every sphere point therefore gives a positive rank-one projector. Any other orthonormal Hermitian basis merely changes the real coordinates by an orthogonal transformation, so the result is basis independent.

For every $N>2$, choose a rank-one projector $P$ and consider the Hermitian trace-one matrixIts eigenvalues are $2/N-1$ once and $2/N$ with multiplicity $N-1$. They sum to one and satisfyBy orthonormality its traceless coordinate vector has squared length $1-1/N$, so it is on the specified sphere. But $2/N-1<0$, so $A$ is not a density operator. Thus for $N>2$, the pure states occupy a proper subset of the sphere; positivity excludes some of its points. In fact, this example is the antipodal Bloch vector to that of $P$.

The usual assertion presumes $N\ge 2$. If the trivial dimension $N=1$ is admitted, the radius-zero sphere consists of the single coordinate point, also corresponding to the single pure state, so that dimension is an additional trivial exception.