In relativity (but often not Newtonian physics) there is a huge difference between a static mass distribution and a stationary one. A static distribution is one in which there is no velocity, whereas a stationary one is defined by looking the same at any given time. All static distributions are stationary, but your rotating sphere is an example of a stationary distribution that is not static.
The fact is, the rotating sphere has additional angular momentum and energy. Thus it does have a greater "relativistic mass" (i.e. total energy minus rest mass energy). In fact, there's nothing terribly relativistic about the misconception here; a rotating Newtonian sphere has a kinetic energy, even though the mass isn't going anywhere.
For concreteness, your approach of looking at each point mass works (ignoring material stresses). If a uniform sphere has rest mass $M$ and radius $R$, its rest mass density will be $\rho = 3M/4\pi R^3$. If it is rotating with angular velocity $\omega < c/R$, then each point with colatitude $\theta$ has velocity $R\omega \sin\theta$, and so the total relativistic mass is
$$ M_\mathrm{rel} = \int\limits_\text{sphere} \frac{\rho}{\sqrt{1-(R\omega/c)^2\sin^2\!\theta}} \, \mathrm{d}V = \frac{Mc}{2R\omega} \log\left(\frac{1+R\omega/c}{1-R\omega/c}\right) = M \left(1 + \mathcal{O}\left((R\omega/c)^2\right)\right). $$
This diverges as $R\omega \to c$.