Rick,
The following code could draw band to display confidence limit as you hoped.

data band1(rename=(cl_lower=lower));
merge ECDF_bands(keep=cl_lower x) ECDF_bands(firstobs=2 keep= x rename=(x=x2));
output;
if not missing(x2) then do;x=x2;output;end;
drop x2;
run;

data band2(rename=(cl_upper=upper));
merge ECDF_bands(keep=cl_upper x) ECDF_bands(firstobs=2 keep= x rename=(x=x2));
output;
if not missing(x2) then do;x=x2;output;end;
drop x2;
run;

data band;
merge band1 band2;
by x;
run;

data ECDF_bands2;
set ECDF_bands band;
run;

/* Graph the step functions by using PROC SGPLOT */
title "Empirical CDF and 90% Confidence Bands";
proc sgplot data=ECDF_bands2 noautolegend;
label x="Breaking Strength (psi)" ECDF="Cumulative Proportion";
band x=x lower=lower upper=upper/TRANSPARENCY=0.6 ;
step x=X y=ECDF / lineattrs=(thickness=2);
step x=X y=CL_Lower / lineattrs=(color=gray);
step x=X y=CL_Upper / lineattrs=(color=gray);
xaxis grid label="x";
yaxis grid min=0 offsetmin=0.03;
run;