A quick calculation reveals that, if we wanted to collect 10% of the Sun’s energy at the distance the Earth is from the Sun, we’d need a surface area equal to 1 billion Earths. And if we had a super-advanced technology that could make the megastructure only 10km thick, that’d mean we’d need about a million Earths worth of material to build them from.

A significant problem is that our Solar System only contains about 100 Earths worth of solid material, so our advanced alien civilisation would need to dismantle all the planets in 10,000 planetary systems and transport it to the star to build their Dyson sphere. To do it with the material available in a single system, each part of the megastructure could only be one metre thick.

This is assuming they use all the elements available in a planetary system. If they needed, say, lots of carbon to make their structures, then we’re looking at dismantling millions of planetary systems to get hold of it. Now, I’m not saying a super-advanced alien civilisation couldn’t do this, but it is one hell of a job.

I’d also strongly suspect that by the time a civilisation got to the point of having the ability to build a Dyson sphere, they’d have a better way of getting the power than using a star, if they really needed it (I have no idea how, but they are a super-advanced civilisation).