A civilisation capable of building a Dyson sphere should be able to come up with a better use for a star than just lighting up the universe.
My guess is that by the time any civilisation gets advanced enough to build a Dyson sphere, ennui has set in to the point where they don't bother.
Any civilization advanced enough to build a Dyson Sphere would by definition be one capable of extreme, long term focus. Since ennui is the enemy of long term focus, they'd probably have conquered it.