What people miss is the sheer level of materials engineering and resource harvesting a Dyson sphere (or any similar structure) would need. To put this into perspective, a one kilometer thick sphere the size of the orbit of earth would need 88.304 x 10²⁴ m³ of material. The Earth only has 334.795 x 10¹⁸ m³. You would need a million Earths for this.
Worse, this is a structural construct - you can't just slap all that matter in a spherical shell and expect it to just hang there.. so it's not just matter - it has to be the right matter, so you're talking about refining and processing way more a million Earths.
The sheer amount of energy that would take far outweighs any real benefit. If a civilisation has the tech and power to do it - they don't need it. This is another "We come for your water because it's so rare" thing that's wrong because water is plentiful in the universe - or they come in advanced high tech spaceships with AI to make us slaves when they could just make robots - cheaper and easier to manage.