Imagine that this plane was a saw blade, or a laser, that cut the cone. We would have two pieces and each piece would have a shape of an ellipse on them. The cutting plane would also have the same ellipse shape.
Or you think of the cutting plane as a flat piece of cloth. If we cut everything around the cone, then we would have an ellipse shaped hole as a result.
The reason why we get an ellipse and not a circle is because the plane is angled like that. It needs to be perfectly parallel to the circular base in order to get a circular cross section.
