Maybe, although I'd expect von Neumann probes or the like would be affordable for a sufficiently advanced civilization.
cosmic-scale engineering is nonsensical to advanced civilizations
Dyson spheres may be more trouble than they're worth, but I'd think they'd at least turn the matter in their solar system into computronium. Although I suppose if their processors are efficient they wouldn't emit much energy for us to detect.
I'm pretty sure myself that Von Neumann probes are easy for advanced civilizations to make, but for what purpose? If it's to explore the galaxy, then we probably wouldn't even notice them zipping by. More importantly, unless they stuck around permanently, the odds would be low that one would've happened to visit in the past century, when we might have a decent chance of recognizing what it was, assuming we noticed it.
The absence of Dyson spheres is easy to explain: they don't exist, because no one needs them. It's a rather crude solution to a problem (energy production) that we will probably solve more elegantly (fusion power) before we can even construct a Dyson sphere.