Excel Ribbon > Developer Tab > Insert > [Form Controls] or [ActiveX Controls]
Form controls are like shapes / images, you can right-click on them at any time and e.g. assign macros. ActiveX controls look the same, but you can only right-click when in "Design Mode" (Developer Tab > Design Mode). When you do, you get code-based options like "view code" and "command button object >"
I like ActiveX controls but yes, I agree it's both surprising and annoying that they can be a pain. I think Microsoft don't like them and have no inclination to fix the problem - it's a fairly uncommon feature, the issues don't always arise and there are alternatives