Hello there @bababalabu!
Welcome to UE! Your setup looks good, the sphere’s behaviour should be consistent. This is most likely due the high level speed of the ball, it’s covering a lot of distance in a single tick, enough to bypass physics check.
The first option that comes to mind is to use CCD (Continuous Collision Detection) on your sphere mesh. Simply open the details panel, and enable it:
If somehow, the ball continues to bypass walls, the next step would be to increase the rate of the ticks in your project, via Substepping. This setting can be enabled from Project settings. After activation, you can set thresholds values for ticks. This of couse, could be taxing for the scene, please ce careful.
More details on this feature can be found in its related documentation. Hope this helps!