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To set your own bucket as default bucket you can create the session with
session = sagemaker.Session(default_bucket="your-custom-bucket")
session.default_bucket() # == "your-custom-bucket"
You also need to ensure the the sagemaker execution role has the right permissions on the bucket.
For your second question you need to ensure that the objects exist (confirm using the S3 console) and that the Sagemaker execution role allow access to the bucket and the objects within.
See https://sagemaker.readthedocs.io/en/stable/api/utility/session.html#
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I know it but I would not like to set up my default bucket every time. When can I setup it in my S3Policy IAM role or Sagemaker domain settings?