You need to call AddInstanceComponent on your actor so it becomes aware of the new component.
UPrimitiveComponent* ATargetFinder::CreateSphereVolume(const FTargetFinderFactoryStruct& data)
{
USphereComponent* newSphere = NewObject<USphereComponent>(this, TEXT("DebugSphere1"));
newSphere->RegisterComponent();
newSphere->AttachToComponent(this->RootComponent, FAttachmentTransformRules(EAttachmentRule::KeepRelative, false));
// IMPORTANT. Ensures the actor knows about the component and it is visible in the details panel.
this->AddInstanceComponent(newSphere);
// Do whatever else here...