Your question seems to boil down to the following:
Assuming that the earth is a perfect sphere, why does the virtual horizon (i.e., the pitch indicator) point to the horizon? The answer is, it doesn't.
Pitch is determined with gravity, which always 'points' to the center of the earth. The virtual horizon you see on your pitch indicator is always at an angle of 90° (i.e., a straight angle) from that, and only points to the actual horizon in case you were exactly on the ground. This difference is negligible for normal flight (which happens in the very lowest part of the atmosphere). The following is only to demonstrate what is actually happening.
In the above picture, I drew an exaggerated version of what you mean. The red line points to the center of the earth (so, where gravity points), and is the reference of your pitch indicator. The green line is what you will see on your pitch indicator. The blue line is where you actually see the horizon. They don't match up, and that's fine.
A pilot really doesn't care where the horizon is. He cares about maintaining altitude, ascending or descending. Maintaining altitude is done by keeping the airplane level with respect to the center of the Earth, in which case he will make a complete circle around the earth since his velocity vector is always perpendicular to the center of the Earth. Ascending and descending is done by having the pitch above or below this.
From the picture you can see that if the virtual horizon were to point to the actual horizon, you would eventually impact the ground - on a perfectly smooth sphere, it would be a smooth landing too. I guess there's a reason they call it the virtual horizon, eh?