It happens with the Lake object too. I don't think there's any difference between the Lake and a Sphere in this regard.
It looks much better at higher detail, especially if you also increase the Ray detail multiplier in the Render subdiv settings. There doesn't seem to be a way to get rid of it completely, but it's not bad.
Here's what I was able to render with Detail 1 and Ray detail multiplier 0.5.
Matt