Humans have the ability to imagine a possibility for which no supporting evidence currently exists--that species alien to our solar system might exist. That ability might not be shared by the species we can imagine. That is, humans can imagine a species that cannot imagine humans. Such aliens would not even realize that building a planet-sized object that cannot be explained by natural processes might present an existential risk.
We, of course, are afraid of hypervelocity impact weaponry, even while having no evidence whatsoever that any such weapon exists anywhere in the universe.
Of course, that just means that any species that did fear annihilation by near-c rocks smashing into their planet would simply disguise their star shade so well that we could not detect it. Meaning that any solar shade we can detect was not likely built by any species able to think like us.
We could clean up by selling them insurance.
Therefore, instead of hiding, the aliens are going to pro-actively fry every competitor civilization by using their solar shades as a Nicoll Dyson Beam... :-)
You'd think that the aliens might not be too keen to create huge beacon advertising their presence to all and sundry...