Thank you for the swift response.
I made a minimal example and it does work as you said. However when I try with my own model it does not work, the only output is
<Figure size 576x468 with 3 Axes>
I tried to save the figure as a file and then I do get a plot, but it does look a little broken.
p = shap.plots.waterfall(shap_values[0],show=False)
p.savefig("plot.png")
My guess is that the plot shap outputs for my shap_values is broken,too large or has some other problem so databricks fails to render it.