Maybe building on the planet had some advantages during construction, like easier delivery or being able to use local resources. Or maybe the atmosphere helps with thermal management. Or being on a planet is useful for the infrastructure that does something with all that power (beaming it to other planets, producing solid, liquid or antimatter fuel for export, refueling space ships or robots, etc). Tax purposes. Diplomatic reasons, maybe there are established protocols for owning planets but large scale light blocking installations in orbit would upset a neighboring nation (though you suspect their opposition has more to do with simmering tensions over the Agreppo peninsula than with concerns about the impact on agriculture). There are plenty of plausible reasons, probably all wrong.

Could be legacy reasons. Maybe they initially built it around this planet, or maybe they’re from a moon in or it around it, and now it provides more than enough energy for their needs. I find people looking for aliens always expect them to be doing the most efficient thing and forgoing any semblance of history.