We don't need to know precisely into what, just that it's extremely unlikely nothing would be visible. All that energy radiated by stars into the void is wasted from the perspective of an advanced civilization.
Further, the dyson sphere concept stemmed from sci-fi, or rather the human imagination. It seems logical to us that an advanced civilisation would build structures around stars to harvest their energy, but our logic is limited to the bounds of a few kilograms of grey, wrinkled biological matter.
The dog cannot understand the internal combustion engine. Alexander the Great wasn't thinking about the internet, or genetic engineering. We're quite sure of ourselves, and of what an advanced civilisation ought to be doing, and I think this is a mistake.