Believing it's an alien megastructure is problematic for this reason, an advanced technology race capable of such resource management would certainly have been emitting identifiable traces of communication in all directions at the very least for the last period of 1500 of our years. If SETI focuses directly to the region of space, if SETI finds nothing unnatural, it's reasonable to conclude nothing unnatural was emitting such signals during a period of "1500 Earth years ago". To believe an intelligent species went from "zero signal" to "dyson sphere" in a period relative to (rounded off) 4.7billion "durations" of 9192631770 periods of the radiation corresponding to the transition between the two hyperfine levels of the ground state of the caesium 133 atom is unreasonable, at best.
Did I do that math correctly? Wouldn't we be aware of other activity in this period, like, I dunno, transmissions from the tens (hundreds?) of thousands of vehicles necessary to manipulate such amounts of mass? Wouldn't it look like a "holy $^%@" flood of communication, sticking out like a sore thumb? Even had "they" not been building such a structure for the last 1500 Earth years, wouldn't we, by now, be seeing evidence of "their" attempts at interstellar communication and travel?
I have to admit, though, it would be funny as hell if, one day, SETI publishes this intercepted transmission.
I'm pretty sure a dyson sphere this close is fantasy.
edit: Some more food for thought on what we call "signals".
http://www.setileague.org/askdr/hydrogen.htm
Also, the fact we should allow for variance without intelligent source.
https://en.wikipedia.org/wiki/Normal_distribution
And we don't even "see" much of that.
Yes, I know it wouldn't translate as music, much less the imperial theme. That was humor.