Depends on which flavor of Dyson Sphere you mean. Check the Wikipedia page, there's a number of variations on the theme available.
Partly for gameplay reasons, it seems PDX went with a pretty literal interpretation of the Kardashev Type II civ definition, letting a Dyson Icosahedron be the method of harnessing the entire energy output of a star, while letting Ringworlds be the mega-habitats.
Also by Stellaris's definition of Ringworlds, they seem to need an uncaged sun. If you Dyson up a Ringworld's home star and use its power output to maintain the Ringworld, you just have a ludicrously expensive giant space station that required ripping up several planets, and at that point building a bunch of Habitat stations is probably more economical, both in game and in theory ...