I found it's simple to create a planet for your map.
You can create a Unit (duplicating Zealot, unit, model and actor)
Then select a planet for your model like Aiur
Then create a Rotator actor with an axis: X=0, Y=0, Z=1, rotation rate: 30
And another actor local offset: X=0, Y=100, Z=0
The rotator actor will make your planet rotate its facing, and the local offset actor will make the planet appear to be flying in an orbit.
However, I haven't found a way to make the planet not disappear when it leaves map bounds.
Does anyone know if it's possible to have an actor display once it has left map bounds? Otherwise the planet actor will not be visible for some of its orbit. To me this is really sad since it would be awesome to have a solar system orbiting in the background.