We may not have the capability to build a Dyson cloud around our own star (yet), but we do already have the technology. You could do so with 21st century tech, and the ROI would be positive.
The really advanced civilizations developed their technology just enough so they could build a really safe and reliable Matrix to live out their lives in.
They would still consume their local stars to extract and store the energy so their matrix can survive for trillions of years, rather than a few million or billion.