There are numerous alternatives here, and you are assuming earth-like technology. Perhaps aliens have mastered other means of obtaining endless energy from their stars, or from geothermal energy on each of their planets, or simply harnessing energy from spacetime. A Dyson sphere would be extremely primitive to a race capable of plucking energy from gravity or other membrane/string theory components.

It is also possible they created their Dyson sphere so long ago that even the residual heat signature of their star has long vanished into the background noise. There could be stars we just cannot see. Perhaps red dwarves are such stars muted inside a Dyson sphere.

Perhaps they have spread out across so many worlds and live in harmony with their worlds such that they have no huge energy demand. Humans are a virus. We should not assume that aliens are too. They may couple substinance agriculture with vast technology.