Please see my post #31. It applies here as well.
You are quite right, of course. The amount of matter needed to produce such a sphere would be astonishing, even if we had the material manipulation and engineering capacity to do so.
Might have to go get stuff from other solar systems and bring it back, which of course leads to the obvious question of whether it probably wouldn’t be simpler to just terraform those other systems.
Not to mention safer. Even with a Dyson Sphere you’ve still got all your eggs in one (really big) basket.