Turn it into a 3D layer.
cc sphere is not a real 3D layer. So turning it into a 3D layer will give you a flat 3D layer of an image of a sphere.
You could try to set your arrow to a 3D layer and animate it's rotation together with the cc sphere rotation. (or llink it to the rotation of the cc spehere).
But.. you'll have to mask out the center of the arrow
Unless your arrow is a 3D object in C4D or created with a 3D plug-in like Element or Zaxwerks it will turn into a thin line you can't see as it rotates. My suggestion would be to create both the sphere and the arrow in C4D lite (or a 3D plug-in). That's the only way the arrow is going to stay looking like an arrow as the globe rotates.
If you just need to stick a 2D arrow through a CC Sphere globe then all you have to do is use a copy of your sphere layer rendered as inside or outside as a track matte for the arrow. The trick is that you need to put your sphere texture layer in it's own comp, duplicate that comp, then set up a track matte or a mask on the first copy that cuts a hole precisely in the middle of the texture dividing it into 3 pieces. The project would look like this:
I've added expressions to tie the sphere radius to the top copy and to tie the rotations together. Once you get to 90º of rotation you will need to switch things around to make the matte work by adding another copy of the bg comp with the matte reversed.