In chapter 3 their is a sphere break tournament, in the end i had to try shinra and ofcourse lost :(

So I wont get the sphere untill I do the whole game for the second time?

You need to beat him to get it so yea if you plan on getting the sphere then you'll have to beat him in a new game. Their might be another oppourtunity to get the sphere later in the game but im not sure and I don't feel like looking it up.

There isn't. You can only get it from Shinra in the tournament. Shinra also has the garment grid which allows you to equip Mug...the only way which you can learn that ability. If you can do it, I'd play the tournament again if you haven't already saved. Or just wait to the second time around.

Hang on, that's not right. I'm positive you can challenge Shinra again in chapter 5. He's harder to beat by that time of course, but at least you get unlimited attempts.

Yea I thought for sure you could challenge him again sometime.

I confirm actually. If you don't beat Shinra in the Sphere Break, then it screws up the Mi'ihen Mystery if you were trying for a certain outcome on that, but other than that, it doesn't really affect much other than completion percentage. If you just want the dressphere, Shinra is waiting in the blitzball locker room by the save point in Chapter 5.