I think is the Sales Console :

I’m not 100% sure,  but early indications is that the Analytics cloud (Wave) is a completely different app.  In the salesforce.com family only in the same way that Pardot is in the salesforce.com family.  The Wave doesn’t appear to be built on the platform.  Therefore they can do whatever they want in the header. 

Boo! I really don’t like the salesforce.com header.

I’m wondering if we could tweak the styling of the header using this demo as a guide to do so. The header in both your video and mine seems to contain the same elements, just styled differently. I’m that good with VF and/or CSS, so I’d be learning as I go.