There are actually 4 types of call-outs. (Balloon, Line, Marker text, and Simple Line).
You get to these via the following:
Add your default call-out.
Select it. Then:
Properties > Change Symbol > Properties.
You should be in the 'editor' dialog box now.
Click the 'advanced text' tab > Then Properties tab (of Text background).
After that you have the Callout type & properties... use the drop down at the top to select what ever you need.
To get an oval shape I would create an oval shape using a marker symbol . Then select it via the marker text 'symbol' option.
Hope this helps.
William.