In the case of an asteroid closing in from far away, the gravitational potential energy exists at all times, and is the greatest when the asteroid is the farthest(i.e., at infinity). You can't remove the ball from the source of gravity so far away that its gravity dissapears. The farther you go the greater(that is, less negative) its potential energy is, because you need to do more work to put it there in the first place, and the field can do more work on the ball(impart it with more kinetic energy) as it falls.As far as the appearance of the field goes, I'll repeat Alan Guth's argument from his "Inflationary Universe" to show that the creation of gravitational field releases energy.
Consider a spherical shell made of compressible material of radius R
1.
Shell theorem shows that from a vantage point outside the shell, the gravitational field looks the same as if all of the mass of the shell were concentrated in its centre. The same theorem shows that inside the shell the gravitational field is exactly zero.
Now, let this shell contract under its own gravity until it reaches radius R
2.
The contraction allows for energy to be extracted. To help with visualisation of this process, Guth uses the imagery of electric generators attached via ropes to the shell, so that as it contracts it pulls on the ropes and spins the generators.
After the contraction, the gravitational field as seen from above the original radius(R
1) is exactly the same - still looking just as if all the mass were concentrated in the shell's centre.
The gravitational field inside the smaller shell is still zero.
However, in the volume contained between the original(R
1) and the resultant(R
2) radii of the shell, there is now a gravitational field where before the contraction it wasn't there.
So, then, after the contraction, two things have changed:
1.Energy was extracted from the system.
2.A new gravitational field appeared.
The conclusion is that the appearance of the gravitational field is connected with the release of energy.