Random Walks on high dimensional spaces

Let $X_1,X_2,\dots$ be iid random vectors each uniformly distributed on $S^{d-1}$. Let $S_n:=\sum_1^n X_i$. By the symmetry, $EX_1=0$. Also, $1=|X_1|^2=\sum_{j=1}^d X_{1j}^2$, where $X_1=(X_{11},\dots,X_{1d})$. Since the $X_{1j}$'s are exchangeable and $1=E|X_1|^2=\sum_{j=1}^d EX_{1j}^2$, we conclude that $EX_{1j}^2=\frac1d$ for all $j$. Also, for any distinct $j,k=1,\dots,d$, the pair $(X_{1j},X_{1k})$ equals $(-X_{1j},X_{1k})$ in distribution, whence $EX_{1j}X_{1k}=0$. So, $EX_1=0$ and the covariance matrix of $X_1$ is $\frac1d\,I_d$, where $I_d$ is the $d\times d$ identity matrix.

So, by the multivariate central limit theorem, $\frac1{\sqrt n}\,S_n$ converges in distribution (as $n\to\infty$) to the random vector $\frac1{\sqrt d}Z$, where $Z=(Z_1,\dots,Z_d)$ and $Z_1,\dots,Z_d$ are iid $N(0,1)$. Therefore and because of the uniform integrability of $\frac1{\sqrt n}\,|S_n|$ (provided by the observation that $E|S_n|^2=n$, made in the answer by Pierre PC), we have \begin{equation} E\frac1{\sqrt n}\,|S_n|\to\ell_d:=\frac1{\sqrt d}E\sqrt{\sum_1^d Z_j^2}, \end{equation} and hence \begin{equation} E|S_n|\sim \ell_d\sqrt n. \tag{*} \end{equation} Since the distribution of $\sum_1^d Z_j^2$ is $\chi^2_d=\text{Gamma}(\frac d2,2)$, we see that \begin{equation} \ell_d=\sqrt{\frac2d}\,\frac{\Gamma((d+1)/2)}{\Gamma(d/2)}. \end{equation} In particular, for $d=2$ (*) becomes \begin{equation} E|S_n|\sim \tfrac12\,\sqrt{\pi n}, \end{equation} which is what you read in that paper.

Let $(X_k)_{k\geq1}$ be a sequence of points chosen independently and uniformly on the $(d-1)$-sphere. Set $S_n=X_1+\cdots+X_n$ and $\rho_n=|S_n|$.

It is clear that $$ \rho_{n+1}^2 = \rho_{n}^2 + 2\langle S_n,X_{n+1} \rangle + 1. $$ Now because $\mathbb E[\langle S_n,X_{n+1}\rangle|X_1,\cdots, X_n] = \langle S_n,\mathbb E[X_{n+1}]\rangle = 0$, we get $$ \mathbb E[\rho_{n+1}^2] = \mathbb E[\rho_{n}^2] + 2\mathbb E[\langle S_n,X_{n+1} \rangle] + 1 = \mathbb E[\rho_{n}^2] + 1 = \cdots = n+1. $$ Hence, for instance, $\mathbb E\rho_n\leq\sqrt{\mathbb E\rho_n^2}\leq\sqrt n$.