Do the stars outside the celestial sphere behave as part of the celestial sphere?
It’s important to realize that the celestial sphere is an imaginary object- it’s just an abstraction that helps us locate objects on the sky. If you imagine a spherical shell around the Earth, the stars appear to you, on Earth, as points on this imaginary sphere. What it looks like from the point of view of an observer on Earth is that a celestial sphere with stars fixed to it is rotating around the Earth. Although we know that the stars are really very distant (and each one is at a different distance), and we know that it’s the Earth that’s rotating with respect to the stars, it’s still useful to imagine the stars as stuck to the imaginary rotating sphere. This helps us to locate them on the sky.