A Dyson sphere around a black hole

I would hope in any future scenario we'd avoid burning a living world like the Earth and instead harvest resources from a dead planet like Mercury or Venus.

That said, seems the Earth was once inhospitable around the time Venus was 'alive'. Good documentary which lends weight to what you said: https://www.bbc.co.uk/iplayer/episodes/p07922lr/the-planets

It certainly would be much worse to burn a living planet, but even a hellhole like Venus is a uniquely beautiful and mysterious scientific wonderland.

You say that now when your entire civilization is limited to a single planet. But I would imagine the novelty wears off after you've explored billions of venus-like planets. For a galaxy spanning civilization, it would be equivalent to destroying an acre of the Sahara.

An appropriately stiff integalactic tax on entropy, enforced only above some enormous threshold like burning a planet, could be optimal.

Because you're right -- at some scale, for some payoff, burning a Venus is the right decision. But ceteris peribus, harvesting from the entropy already present is better than adding to the universe's entropy.