Above the critical pressure, there is too much molecular energy to allow for surface tension, so there is no longer a distinct liquid/gas phase. If you had a liquid such as CO2 in a tank and you slowly added heat, the pressure would rise along the saturation line and there would be a distinct liquid/gas phase separation provided by the surface tension until you got to the critical pressure. In other words, the liquid would be saturated (boiling) and the gas would be saturated (ready to condense)*. Once you get above critical pressure, surface tension disappears and what used to be gas and what used to be liquid could start to mix because there is no longer any surface tension providing a distinct liquid/gas boundary that separates the two.
However, there isn't any other distinction one can easily make between gas and liquid. Above the critical pressure, the molecules still act like liquid molecules and the fluid is relatively incompressible if cold enough, and the molecules act like gas molecules if they are very warm. But there's still an 'overlap' between the two phases such that as temperature decreases, the compressibility factor (Z) decreases meaning it becomes more and more incompressible (like a liquid). The closer you are to the critical pressure, the more distinct that transition is. Conversely, the farther you are away, the less distinct that transition is. So as pressure increases, the 'bump' in the line you see, becomes less distinct.
*Note in 'real life' there is rarely such a distinct separation. Generally, the liquid is subcooled in some areas and boiling in others while the gas is superheated in some areas and condensing in others.