Why make a structure to collect the energy from a star when you can make a star that fits in your pocket? Dyson spheres are interesting, but they are also a silly extrapolation.
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They are silly indeed.
With water you can make energy the same way stars do, fusion. Why go through all the construction of a Dyson sphere?
For us trying to find other civilizations based on the technology we understand is like plains Indians trying to find future civilizations using smoke signals. In the future there may very well be no communications via electromagnetic spectrum, we simply don’t know what will be at hand in a thousand years, we don’t even know enough to speculate.
Maybe we have evolved enough and experienced enough of our known universe to know that all the neighbors are assholes and the wall is just as much to keep them out as it is to keep our energy in.
The universe is not only queerer than we think, but queerer than we can suppose - J.B.S. Haldane