They are trying to illustrate the 90 degree angles in 3D space. A common way to visualize this is to subractthe Z component, and you will clearly see the right angles in the x-y plane.
The angles are 90 degrees by definition. You should not question it just because when it is illustrated at a skew angle it doesn't look like the square angle you are used to.
The method being used is one that involves drawing a perpendicular line from the end of A to whichever axis you are interested in. Since your new coordinates are defined with angles to the vector A from a given axis, the definitions are given in terms of cosine(angle) = adjacent (axis) divided by magnitude (vector).