Dyson spheres are only easy to detect if they exist, I doubt very much they are high on the to do list for beings sufficiently advanced to be able to construct them.
If the development of a species is sufficiently outward looking to drive them to space in the first place, I think looking even further outward would ultimately be more efficient than the immense effort it would take to encapsulate a star.
I am not an astrophysicist but I am a reasonable engineer, Dyson sphere construction goes way beyond just the physics and energy required build it, the infrastructure would be truly stellar
Biting the hand that feeds IT
