I could be wrong but I think the issue is that you need to tell XNA which points on your model correspond to points in the texture so it knows *how* to texture it. In this
example, Efron does pretty much exactly what you are doing (in terms of assigning the texture) but he isn't importing a model to do it. Instead he creates the model vertex by vertex setting the normals and, crucially, setting the texture coordinates too. Now this could be solved by you wrapping the texture to the sphere in blender and exporting the model again. I know blender internally defines the texture coords and hopefully during the export, these are preserved.
This is one reason why I created my own Model class so I could dynamically create vertices at runtime. That way I could create my own sphere and know for 100% certainty whether the normals and texture coords were set to what they should be.
As for creating a sphere, I have already done some code to accomplish this and I'll put something over the next day or two on my
blog that you can use. I just need to strip it down a bit so the concept is not lost somewhere in my growing engine code.