There’s no reason to build one.
A Dyson sphere is a theoretical next step after we do as much as we can on Earth and decide we want even more. Building stuff in space is expensive, it only makes sense to do so if there’s some need for it. And so far there’s more than enough room on Earth for lots and lots of solar panels that are far cheaper to build and maintain on the ground.
Besides that, a Dyson sphere would involve absolutely amazing amounts of material use — you’re talking about taking apart planets to make the sphere out of them.
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