You probably have a point there. You can edit the 'group' that the sphere you're creating belongs to, but you have to type it in manually. There's no dropdown list, and it lets you put whatever you want in there. I tried typing several things in there, but still ended up with the same shape.
EDIT: This is actually the answer I was specifically hoping to NOT get:
I just want to go on record as saying, "Please don't use the sphere brush."
Use static meshes to create spheres. Complex BSP shapes are asking for problems and not nearly as efficient as static meshes in terms of performance.
Edit: Also, every time you use the sphere brush, you kill a kitten. Don't be a kitten killer. They are so adorable!