Space

There's a fair question of "would it ever be practical to do such large constructs". As far as energy capture, between advances in energy efficiency and solar capture, one could imagine having energy beyond our greatest ambitions with no or minimal space based solar energy collection. The resources involved to construct such a thing would involve a mass equivalent to an entire planet to make a super thin shell, and we'd want to be pickier than just any old matter.

Similar to people dreaming of Mars colonization as a workaround for climate change. Anything we could do to make Mars livable would be even harder than engineering Earth's climate. Now maybe population growth may demand more area one day, or non replacement birth rates become so normal that population just starts shrinking.

There is the possibility that no one can "win" against the physics, and things didn't get much more advanced in space for any species than they are today for us. If that's the case, then we shouldn't be surprised that other hypothetical civilisations cannot be found.