What if no advanced civilization has any reason to build a Dyson sphere? My opinion is that we will never build a Dyson sphere and neither will anyone else. However grand the concept, it is nonetheless a crude and costly solution to a problem that IMO almost certainly will not exist by the time we could build one.
It is possible that we have been looking right at such manifestations of advanced civilization all along but have been interpreting what we see as natural happenings. There are some strange objects in outer space that stretch our theory to the max.