It would be; first, spheres are unrealistic because of the stresses involved, so you'd be looking at a dyson swarm instead, and second, (and this is with sci-fi glasses on), even advanced civilizations would need many years to build one, so there would be a gradual fading instead.

It could be the result of the closing of the dyson sphere/swarm. If the dyson sphere/swarm is built like giant Venetian blinds, it could work.

Easier: if they build the frame for the sphere first, then added (gigantic) panels one at a time, a part filled with panels might have moved into our line of sight.

Or maybe they built them all in a higher orbit spaced apart, then simultaneously decelerated them all so they fell as one into a Dyson sphere! Have to have some kind of process, why not that one?

Self-propelled modular elements that are built separately, and then placed and connected to others.

A Dyson sphere/swarm has huge emissions on the infrared band that would be easy to detect on the tens of millions of light years distance.

Edit: AFAIK, this group didn't look for that. But the fact that nobody ever found one is telling.

If you are into these kinds of mysteries, I highly recommend reading Pandora's Star by Peter F Hamilton. (even more so if you want to spend a few days reading this epic space opera)

Warning: he writes huge tomes. They're far too long. The first I read was fun, the second a slog. There won't be a third.

He has a whole follow-up trilogy from Pandora's Star. They are every bit as massive and pondorous. I personally liked them just enough to finish them, but I won't re-read them.

However, I absolutely love the Night's Dawn Trilogy and re-read it once every few years. I think I read it at an impressionable age and it really stuck.

One could also consider reading Charles Stross' "Accelerando" which has plenty of stuff about dyson swarms.

I only read Pandora's Star so far, but I really liked the fact that it was a rather optimistic vision of the future. Humanity had colonies on dozens or hundreds of planets, and due to life extension people were basically immortal and could even choose the shape of their body.

Definitely read the sequel Judas Unchained. Those books are probably my favourite novels.

For more Peter F Hamilton optimistic future of humanity, see the Night's Dawn trilogy.

Thank you! Any other optimistic and believable sci-fi you would recommend?

I'd imagine that such a completion would take long enough that we'd see it dimming (maybe irregularly) first. Then again I'd have thought so would a star collapsing...