What I did:
f[t_,z_] := Cos[z/2]^0.5 * (1 + HeavisideTheta[z - 0.35 Pi]);
ParametricPlot3D[{f[t, z] Cos[t], f[t, z] Sin[t], -z},
{t, -Pi, Pi},{z, -Pi, Pi}, PlotRange -> All]
What I got:

The plot shows a gap in the surface that I wouldn't have expected just because the gradient is infinite.
What I want: The same image, but without the break.

Exclusions -> Noneto the options of yourParametricPlot3D. – MarcoB Jul 28 '15 at 22:26Optionsmenu. – Sektor Jul 29 '15 at 14:03