The outer weird-looking sphere is somehow linked with my icing and when I select the icing the outer sphere gets selected too (when i delete the sphere the icing gets deleted too):
This happens because the new UV Sphere you are creating is put inside the collection you created for different types of sprinkles.
So the donut is a tutorial by BlenderGuru and for the making the sprinkles randomly spread out on the Icing, Geometry Nodes were used. Now the objects to be used for the sprinkles are selected using Collection Info so putting the Sphere inside the Sprinkles collection makes it subject to the geometry nodes as well.
Just move the sphere out of the Sprinkles collection and you should be fine. And the next time you are adding a new mesh, make sure you select the collection where you want the mesh to be put in.