What's right with it? Why would you expect it to give you the volume?
That would, of course, give [itex]\pi^2 ab[/itex]. If a= b= r, your ellipsoid will be a sphere of radius r. Does [itex]\pi^2 r^2[/itex] give the volume of that sphere?
Actually, that's wrong. If the ellipse goes from x=-a to x= a, it wouldn't make sense to integrate dx from -b to b. If you were to integrate from -a to a, you would get the volume if that same ellipse were rotated around the x-axis. The correct formula is
[tex]\pi\int_{y=-b}^b x^2 dy[/tex]
If you take a cross section of the rotated ellipsoid, perpendicular to the y-axis (axis of rotation) you get a circle of radius "x". It has area [itex]\pi x^2[/itex] and, imagining it as a thin disk of thickness [itex]\Delta y[/itex] (the thickness is measured along the y-axis), volume [itex]\pi x^2 \Delta y[/itex]. Summing over all such disks gives you a Riemann sum approximating the true volume. In the limit, the Riemann sums become the integral [itex]\int_{y=-b}^b \pi x^2 dy[/itex].
The real reason for learning about Riemann sums (you certainly never use them to actually calculate an integral!) is because most integrals are set up using them.