How to generate this effect in the game?

You will need to do your own post processing effect, you do that by creating material (As post processing is shader same as material is just applyed to the screen) which will apply UV map, map which maps points of graphic (in your case scene) to pick on which position to be displayed. Here docs which will help you out:

As you can see “SceneTexture” block ad UV input you can deform scene using it, there also example in content examples (in PostProcessing.umap) which use this by making sign Unreal Engine deform the scene.

Hi all,
I want to display this effect when playing a game.

I want to know how to create the border’s effect like BP_Sky_Sphere,
but BP_Sky_Sphere can’t show the effect in the game

You mean that yellow part of the scene?

yes, I want to build the yellow part when playing game

then you can do it via post processing