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.
Yes, I would agree that this is certainly possible, if not even probable (we won't know until we know). The thing is, I nonetheless doubt that any civilization will ever build a Dyson sphere because there are almost certainly far more efficient and refined ways of getting energy, and that's the conjectured purpose of a Dyson sphere. We may very well be able to pull energy right out of the vacuum before we get to the stage where we could build a Dyson sphere..