I would like to add to this, in case somebody else has that issue and also something I noticed:
I had the same issue and redid the challenge 3 times to see what was it.
What I noticed was that when I did the challenge the first two times, I created the UV sphere in Object mode and then did the edits but then I went into object mode again, created the cylinder and had 2 objects in the Scene Collection and then I ran into this issue.
I managed to delete the vertices just as Ben said, by creating the cylinder WHILE being in Edit mode and following the rest of the process. And on Scene Collection, there will only be one object which should be the sphere.