The Dyson Dilemma states that every civilization of a great enough development stage will want to capture all of the energy from it's home star and surround it with a Dyson Swarm that uses solar panels to capture every last square meter of sunlight. Such a structure should be detectable within 1 kpc and yet our current sky surveys have turned up bubkis.

Building millions of solar panels in space and dealing with the cosmic rays, solar flares and micrometeorites seems like a real hassle. Having your entire civilization in one location also seems like it would make it vulnerable to interstellar warfare, rogue nanobots, and so on...

On our current technological development timeline, we will have Nuclear Fusion power well before any Dyson Swarm gets up and running (Decades vs Centuries). The Sun is also extremely inefficient running at 10^4 times slower than any man-made fusion process. It's so slow that, per unit volume, the sun puts out about the same energy as your average compost heap.

A civilization that grows large enough to need a Dyson swarm is going to keep growing to the point where its star's output is no longer fast enough and it will need to access the hydrogen directly (Starlifting) in order to power all of it's fusion reactors.

So why would any alien civilization ever build these Dyson Swarms?

Our sun produces something like $3.8 times 10^26$ Watts.

That requires something in the neighborhood of 600 million tonnes of Hydrogen per second.

Getting a similar power from fusion would require a similar consumption of Hydrogen. Even for a culture that could build a Dyson sphere, that's a lot of Hydrogen to get if you are not using a star to do it. Are there ways to get it? Oh, probably. Are they as easy as would be cuddling up to a star? Probably not. One might imagine scooping up interstellar hydrogen, for example. Or vacuuming nearby solar systems.

As to meteorites, they would certainly scour the system they started in. They would want the mass, if nothing else. They might need to scour some nearby systems as well. They might even need to harvest mass from nearby stars, and do some nuclear synthesis.

As to cosmic rays, they will have a huge device from which to project any protective measures. Cosmic rays can be deflected with magnetic fields, for example. One expects there are other ways of dealing with radiation from space that would be discovered.

A Dyson sphere might well be easy to detect during construction, especially as the star's brightness starts to do wacky things. After all, Tabby's Star was pretty exciting for a while. It seems that natural explanations have been found. But for a while, it was tempting to hypothesize that we might have exciting "neighbors."

Once it's constructed it might be a lot harder to detect. It will radiate the same amount of energy but at a much lower temperature than the star inside. I'm not an astronomer, so I could be completely wrong here.

Plus, when you have $3.8 times 10^26$ Watts to play with, you might be able to construct some exciting defense systems. Imagine they could direct some appreciable fraction of their star's solar wind into a beam, just as an example.

Having a culture with a huge number of citizens in one place has interesting possibilities. Imagine, for example, the computer network they could construct. A Dyson sphere with the orbit of the Earth has an area of $2.8 times 10^17$ square km. If you had even one fairly modest CPU in each of those square km, you'd have a truly enormous parallel computer. It's quite difficult to project what you could do with such a system. But it would certainly not be boring.

To power nuclear fusion, you need hydrogen. The overwhelmingly largest hydrogen reservoir in any solar system, and conveniently an already working fusion reactor is its star.

In other words, there is far more energy to collect from a star than you could ever hope to generate in reactors.

Your question is like asking "why build an oil power plant with all the related hassle, when we can chop wood and light a fire?".

The answer is: the order of magnitude of the produced energy. A star emits Petawatts of energy, while a fusion power plant can produce Megawatts, several order of magnitude less.

And a star saves the hassle of harvesting all the fuel, since gravity already did the job.

The commonly given reason for building any version of a Dyson Sphere is because the civilization needs an amount of energy comparable to the output of their star. A Dyson sphere captures a significant fraction of that ouput, and does it more or less passively.

I would posit that a civilization could not create a Dyson sphere without first having fusion (both for electrical/thermal power, and for space propulsion), because of the tremendous amount of matter that needs to be moved around. There comes a time, however, when the materials (copper or superconductor precursors, for instance) to make fusion devices become too scarce, while (presumably) common structural materials are easier to source, and those to make solar collectors are also common.

If all the high quality conductors in the Earth were tied up in fusion generators, it would still be possible to collect more energy from solar emissions, if one could cover enough of the sky -- and eventually, if our civilization lasts long enough, we'll need that energy badly enough to begin construction of a Dyson sphere.

So, I'm going to frame challenge this, and say "no alien civilization entirely surrounds their stars with solar collectors."

Piecewise assembly

Here's the thing about a Dyson Swarm: It's not a single massive project that returns nothing until it's complete.

All you need is solar-orbiting structures that (also) collect solar power, and some sort of orbital traffic control. As long as people keep building orbital structures, the power collected by the system increases, and eventually you get a Dyson swarm. No one ever decides one day "we should make a Dyson swarm." Instead they decide to make one (or some other reasonable number) of solar-orbiting structures. They quickly get the benefit of that structure - whether it's a habitat, research structure, manufacturing hub, etc.

But then what?

This continues until either the unused mass in the system vanishes or the civilization kills itself. Once the unused mass in the system is gone, no more structures will be put around the star. Sure, going to another star is possible, but why bother to ship the mass back? Power is power, regardless of where you get it. Interstellar shipping is expensive in terms of energy. And, as you said, having your entire civilization in one place is a bad idea.

Therefore, advanced alien civilizations put partial Dyson swarms around every star they can get their mitts on. No star is ever fully surrounded.