That “main camera” is called the “default pawn”. The default pawn is spawned by the GameMode when the game begins to possess the PlayerController by default.
You can set the default pawn by using or creating a custom GameMode class and setting the “default pawn class” in there. You’ll also need to make sure your project or level is configured to use the custom GameMode.
If you have a player character / pawn that you want to have spawned at the start, set that as the default pawn. If you just want the sphere thingy to disappear, set the default pawn class to “Pawn”.