Yes, but only in the same sense that there are infinitely many directions for the hydrogen m=1 state to point it's angular momentum in. This degeneracy is from global rotational symmetry. They are not distinct phases, simply rotating the entire magnet moves you from one to the other.
All of these states have the same energy, so there is no concept of phase transitions between them. It costs zero energy to go between them. This is related to the fact that symmetry breaking of the ferromagnet comes with a (gapless) Goldstone mode
Edit: So OP is adamant about definining these different states as different phases, fine its up to you what you define as "phase", but it disagrees with many classic texts of phase transitions (cf. Phase transitions by Goldenfeld). In that case, yes there are as many "phases" as there are on the surface of a sphere.
As I mentioned in the comments, there is only a first order transition if you pass through $H=0$ going from one of these states to another. This means the "phase" boundary between these states is a single point in 3D configurational $H$ space. This is why I would say that there is no distinction between these phases, you can get from one to the other without passing through any transition (1st, 2nd order or otherwise).
You then ask why can't it be that there is a no line or plane in $H$ that separates states. I return this question with: why would there be? Surely you agree that all of these states are degenerate when $H$ points in the appropriate direction. Because the energy goes smoothly as $\mathbf{M} \cdot \mathbf{H}= M H \cos(\theta)$, you then can see there is no energy barrier going from one state to the other if $\theta$ is changed continuously.