The Sphere only appears in one episode, Fashion week (Ep. 69) and seems to be a spirit or sprite (or maybe a government agent?) of some sort. In the said week it decides what is "fashionable" or not, and swallows/ absorbs unfashionable citizens.
The only citizen who has nothing to fear is Michelle Nguyen because she's just so fashionable. Hipsters these days. They think they're so cool just because they don't get swallowed by the sphere ("It’s like that popular joke: why did the hipster burn her mouth? Because she survived the sphere and was able to eat her pizza before it was cool."). Michelle runs Dark Owl records, and we hear from her a few more times throughout the mysterious force we call time. As for less chic citizens, I'm not sure what happens to them but they are probably dead, cause of some fashionista orb that thinks in everything. We are unsure why Cecil escaped, as on that day he described his outfit as "I wear leather pants and a Hawaiian shirt and a baseball hat made of honeycomb. I just wore the same thing I slept in last night. If I get ingested by a fashion-conscious sphere for wearing comfy casual clothes, then that’ll just be what happened to me." I guess leather pants are "in".