Are we not able to produce vast amounts of terrestrial energy without the sun (eg. nuclear)? I'd imagine a sufficiently advanced civilisation has solved the issue of energy, such that they have an abundance without creating giant structures around stars which would alert even the most primitive of civilisations (us) to their presence.

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.