Why do we think Dyson spheres exist. It's completely conjecture.
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The internal surface area of a sphere with radius 1AU has so much area that its unlikely any spacefaring civilization would ever spread to that many planets. It would be enough to have billions of versions of your civilization/species with room to spare, AND have them all be able to communicate without light years of transmission delays, never mind time and cost of travel, and thus drift apart. Then, one has the opportunity to otherwise live in very similar circumstances as the planet one evolved on. Looking at our attraction to nature I would guess any species would think of this as a benefit, and would prefer it over terraforming faraway hostile environments or inhabiting cramped space cabins.
So yes, if you have the ability to make a Dyson sphere, I can very well imagine that you would.
Its not about need, but about want. If you can have anything, my bet is that a Dyson sphere makes more sense than Cyberpunk tech and eating protein goop. Although there is space enough on the sphere for people that prefer it, of course, which there no doubt will be.