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.