Seeking for Dyson Sphere signatures like the SETI program do may be a partially blind quest, because such structures aren't sustainable in term of :
Materials : it require to disassemble an enormous quantity of planetoïds and asteroids, and ;
The costs, and ;
An enormous building time : theoretically several centuries to several tenth of millennials (TEA : Elapsing Time Argument), and ;
A securization during and after the building process : against internal threats, cosmic events (i.e. : Solar Flares) or even terrorism and because of ;
The political management : risks of disparities and wars.
For example, a Dyson Sphere should have built-in defenses, both during building time and after it to keep small meteors or big comets away as an impact could trigger a Kessler Syndrom around the star like it could happens on Earth (see the Junk Beam concept on 🔴 @20f6bd).
Note : we do not talk about possible Dyson Swarms (satellite-like network around the Sun).
Artist representation of a Dyson Sphere. See this video  from Isaac Arthur for more, or this one.