First of all, et the embedded mesh type in the Meshing->General branch of the preferences window.

Click on Mesh->Generate mesh, and generate a mesh with size equal to 1. The following mesh should appear:

As it can be seen, the volume mesh is body-fitted to the calculation volume, but is not constrained by the contours of the embedded region.

The volume mesh has also the information of the signed distances from its nodes to the embedded region (negative values indicates the nodes are inside the embedded region. To see this information, you can go to the post-processing mode of GiD, and see a contour fill of the distances, or the iso-surface of distance equal to 0, as shown hereafter.

View of the contourfill of distances on the calculation volume mesh.

View of the iso-surface of distance equal to 0 of the calculation volume mesh, where the sphere shape can be appreciated.