You are sort of right, there are no branch cuts needed... however, your description of the "Riemann surface" is not complete.
On a problem like this, it greatly helps to get rid of that pesky square root sign, convert the problem into a polynomial equation, and then examine the solution set of that equation. That solution set is, formally, the "Riemann surface" that you are looking for. But there are issues...... which I'll get to in a moment.
The way you do this symbolically is take the "equation" $w=\sqrt{z^2}$ and square both sides, to get the equation
$$w^2 = z^2
$$
This has the highly desirable side effect of avoiding all of those annoying discussions about principal branches of the square root.
But it also has a formal advantage, namely a formal definition of the "Riemann surface", which is just the solution set of the equation $w^2=z^2$. That "Riemann surface" is the union of two $1$-dimensional subspaces of $\mathbb C^2$, namely the subspace $w=z$ and the subspace $w=-z$. The intersection of these two subspaces is the origin $(0,0) \in \mathbb C^2$.
There's a few issues to be discussed here. This solution set is not exactly a "Riemann surface" --- hence the square quotes that I have been using. The point is that every neighborhood of $(0,0)$ is disconnected, hence no neighborhood of $(0,0)$ is modelled on an open disc in $\mathbb C$ as is ordinarily required for a Riemann surface. The point $(0,0)$ is therefore a kind of "singularity" of the Riemann surface structure. This is a pretty simple kind of singularity and it has its own terminology: it is called a node, and the solution set itself is called a noded Riemann surface.
Also, no branch cuts are needed at all to understand this example. Part of the reason for this is that the complement of $(0,0)$ in $w=z$ and the complement of $(0,0)$ in $w=-z$ are disjoint from each other; they form the two connected components of the complement of $(0,0)$ in the whole solution set, each equivalent to the Riemann surface $\mathbb C - \{(0,0)\}$ as one can see by projecting to the $z$-plane.