I just read up on it a bit, and there’s multiple things disproving my theory:
to reconcile our models with our observations, dark matter would have to be primordial, i.e. created shortly after the big bang.
to explain the movements we see, dark matter must be mostly concentrated in a ring far outside of a galaxy. Dyson spheres would probably be concentrated in clusters spreading from the center of a civilization.
Dyson spheres would radiate heat we can detect with infrared telescopes, unless you hand-wave it with “aliens found tech that breaks thermodynamics” and at that point it’s the same as saying it’s magic.