It was a TV series but this sounds like Time Trax with Dale Midkiff.
It isn't Time Trax. But I started looking up tv shows, since the possibility of it being that rather than a film hadn't crossed my mind until you mentioned. Automan looked close, but is too dark, too blue, and the orb doesn't speak.
Eventually came upon
Hard Time on Planet Earth. "An alien rebel is sentenced to serve time in human form on planet Earth after an interplanetary war." You nudged me in just the direction I needed to go. Thank you!
First thing that comes to my mind is Solarbabies. It has kids with an orb trying to escape the police in the future, but I don't think the sphere talks.
Solarbabies was mentioned on a couple other threads I looked through first. It's not what I remember from my childhood, however it is on my to watch list.