I don’t think that’s a problem, but I don’t see how enough material would be available (and that’s ignoring the problem of actually using it to build with) in a given system to build a shell around the star — but millions of miles away from it of course.
If there’s a colonizing civilization, they might (ignoring the problem again) pick a red dwarf to save time and material. But again, that assumes there’s sufficient material around a smaller star.
Wouldn’t have to be a sphere. Could be a ring. A ring world. Course that would be unstable so you would need to place Bussard ramjets around the edge.
A lot of these guys are living in the realm of science fiction, I think. Not that I am opposed to science fiction, but don’t confuse it with real science.