@ACuriousMind I can see the first part but not how the simultaneous diagonalizing with the definition implies the conclusion.
So what I have is The first part you mention is: $$PQ~~\text{orthogonal} \Leftrightarrow PQ = 0 \Leftrightarrow [P,Q] = 0 \Leftrightarrow P~\text{and }~Q~~\text{can be diagonalized simultaneously.}$$
Then from definition $|X| = |\rho - \sigma| = |P-Q| = \sqrt{(P-Q)^2} = \sqrt{P^2 + Q^2} = |P + Q|$
What am I missing?