Despite what we saw on the one featured in "Star Trek", Dyson Spheres aren't for living inside, they're purely for energy collection. You can't terraform or even stand up on the inside surface of a Dyson Sphere, no matter how thick and heavy you make the walls: the inverse-square nature of gravity means that the mass of the walls beneath your feet is exactly counterbalanced by the mass of the walls above your head. Every point inside a Dyson Sphere is gravitationally neutral; every object placed inside the Sphere would have to either orbit around the central star... or fall into it. This gravitational counteraction also means that you'd need to be constantly re-centring the star inside the Sphere by physically moving either the star or the Sphere itself, since gravity alone can't do it; as far as the star can tell gravitationally, the Sphere isn't even there.
You could spin the Sphere, of course, but then you'd end up with a vast, thick "ocean" of air and water at the "equator", and vast barren airless deserts at the "poles", with only two relatively thin strips of "coastline" on the two shores of the central ocean where you could actually live. This is why Niven's "Ringworld" concept made much more sense, in terms of creating a vast circumstellar surface area which people could actually live on.
If Dyson Spheres actually existed in-game, you couldn't actually "see" them - if they're true Spheres, they're blocking and absorbing all light from their star. They'd presumably have a super-high infrared (waste heat) signature, but zero visible light emitted; perhaps they're disguised as brown dwarfs. Finally, if we did actually find one and fly "to" one, we'd probably get stuck inside it. Our FSD will happily fly straight through solid objects when arriving at a star, so would presumably happily jump right through the Sphere wall and appear next to the star, just like normal. BUT, how would we leave again? The FSD refuses to activate if another object (like a planet) blocks the line of sight to the destination star. We'd have to supercruise out to the wall and try to find a hole or airlock of some kind to fly through, in order to escape.