All of the existing 3D shapes have hard angles. Would be great to have a Sphere option too, for what I hope are self-evident reasons. :)
Construct is still fundamentally a 2D engine. Its 3D feature still relies on drawing quads (i.e. rectangles but sometimes with some depth). It is also designed to dynamically issue every quad every frame, since 2D games often have a lot of changing content.
A 3D sphere is more like a 3D model, being composed of hundreds or even thousands of vertices. This doesn't fit the design of Construct's fundamentally 2D engine well. The engine still has no concept of uploading a mesh to the GPU, which is what a 3D engine would do. Issuing enough quads to make up a sphere would be very inefficient.
Despite the recent introduction of various 3D features, we still want to avoid having to implement a full 3D engine, with all the complications that brings. An efficient 3D sphere would require adding significant parts of a 3D engine which we'd rather avoid, and so for that reason we are declining this feature.