I've mapped a grid onto a sphere. The latitude lines look fine. But the vertical longitude lines come out wiggly!
I've tried different sizes of the grid graphic. I've tried rendering preference quality and rendering the file.
I am a long time PS user but new to the 3D functions.
You'll need to make sure the underying mesh has sufficient polygon count, and that the UV mapping is setup to work with longitude lines.
I did this using a mesh from depth map | sphere (as opposed to using the sphere preset).
If you need more details, reply back with questions.