That’s the Root ZSphere - the first one that you drew. It does not actually have any geometry in and of itself and does not contribute to creating the skin. Instead, it’s the hook on which everything else in your structure is hung. However, when you turn on the Preview with only the Root present, ZBrush has to draw something and so it draws half a sphere.
All that you need to do is add children to the Root, creating a structure of some kind.
Even so, the mesh will have a hole at one end unless you “cap” your structure by adding at least one child to the opposite side of the Root from the rest of your figure.