Hmmm ... That is the best way to build it.
A circle is the shape which encloses the maximum area for a given perimeter, so you would use less material for the wall.
If something has pressure from the inside, it will take the form of a circle. Similarly, when you blow up a balloon, it takes the shape of a sphere.
If the cross section were say, a square, the walls would bow out (unless they were very strong), and tend to make a circular shape.
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A cylinder has a circular cross-section whereas a cuboid has a quadrilateral cross-section.
Not a right cross-section.
A sphere is three-dimensional whereas an ellipse is two-dimensional. An ellipse can have an oval shape but a cross section of a sphere is always circular.
No, a cube cannot have an octagonal cross-section.
The cross section can be a triangle, rectangle or a hexagon.