That colored dot on click is almost certainly the touch feedback indicator. Windows 11 has a setting that shows a visual dot when you click or tap, designed for touchscreen use but it sometimes gets enabled on regular setups. Go to Settings > Accessibility > Mouse pointer and touch, and look for the Touch indicator section, toggle that off. If you do not see it there, check Control Panel > Mouse > Pointer Options and uncheck Show location of pointer when I press the CTRL key (though that one is triggered by CTRL, not click). The third possibility is a third-party app doing it, screen recorders like OBS, presentation tools like ZoomIt, or remote desktop apps often add a click highlight feature. Check your system tray for anything like that running in the background.