I think the shading is actually technically correct here. The issue is, that the sphere is not actually round when you use smooth shading. Instead, only the normals are interpolated across the surface. However, the ray intersection testing does not really care about the normals, only about where the triangles actually are.

I believe we had this bug report before, but I'll leave it to @Brecht Van Lommel (brecht) to decide what to do with it.

OK. Now jokes aside. You are telling me, that this is technically correct?

How I am supposed to render this character with smooth shading? Subdivide it? No.. this must be a joke.... Why there are normal maps on this model? ...I could probably use hipoly millions triangle sculpt, to render it correctly, no?

My company is doing Blender test-run . We are creating teaser for feature animation movie. What do I have to tell client about shading? That it is technically correct?

According the link posted by Brecht, this "feature" was firstly appointed around 5 years ago. Can you please explain me, how is this possible, this not was fixed over all those years, and still it is not considered as really serious problem?

We are seriously considering company-wide switch to Blender. We would gladly put money saved by Autodesk licenses, to Blender development in future.

This teaser should be our decision driver. But this is serious showstopper, with fatal impact on our work.

Tell me please, What should I do now?

You can voice your opinion on the importance of this feature, and that will affect the priority for features that get worked on.

For feature films, bump/displacement and subdivision surfaces are the common workflow rather than low poly and normals maps, which is typically used on games.

@Marek Hollý (asil8567) it is known issue, named «terminator problem»
It can be resolved only with new tecnologies, where rays counts virtual geometry.
Like POM + PDO + shading.
Here is discussion.
https://blender.community/c/rightclickselect/t9bbbc/

ATM you can only subdivide and make softer light/shadows.

Oh, Come on... I am not newbie who needs to explain how to prepare assets for feature films.. Still there are movies which do not require billions of polys... smooth simple surface could be enough. Not with Blender. Doesn't matter if you've prepared great normal map... It seems even simple surfaces should be subdivided rapidly to achieve smooth look. Of course, this has vast impact on preprocessing time, and memory..

...subdivided from 30k to over 11 mil poly. Do you think it looks OK?

..no.
Moreover, another shading artifacts are introduced on shoulder area covered by shadow (side effect of subsurf...)... No matter how you explain me this, it is not good. I am unable to achieve good results..