Where are you going to look for something you have no idea what it looks like and how do you know when you've seen it? Doesn't sound very scientific to me.

  >our capacity to capture and "upgrade" slow photons is already improving

How about "Sisyphus Sphere?" :)

If not inescapable, then anyone can trivially use that same trick to make infinite energy in their garage, so if you can upgrade photons for free then you have no need to build a Dyson sphere anyway.

  >a technological civilisation that considers a star as a convienient fusion energy source is wildly unlikly to have missed any possible way to control, direct, store and transmit energy or matter that physics will allow for

It's still possible they tried all those, and leeching off a convenient pre-existing natural fusor (with no build or repair expenses, for that subsystem at least) is simply the cheapest option.

I can already hear the obvious reply: "But who cares!! If they're so advanced who cares about money??"

Even (especially?) for an advanced technological civilization, you still want to choose the cheaper of two options, because some resource will always be limiting. You don't get highly advanced by making dumb decisions. ;)

TL;DR No Free Lunch defeats Indistinguishable From Magic