If you've got the technology and infrastructure to build a Dyson sphere, is there that much difference between a star and a fusion generator? Maybe the reason we've had so little success with fusion generators is because they have to be built very big to keep them lit.
The sphere would be dynamically unstable in the gravity field of the star and station-keeping would be expensive and hard to coordinate over the lightspeed delay.
And stars are terrible energy sources--they're huge, diffuse, inefficient, and not portable. It would be much more useful to build fusion generators to order.