The title of this post is a joke, or taken literally, an outright lie. The only definitive truth is that no one knows if anyone has ever built a megastructure, or even if they would if they could. I have persistent doubts if such things exist anywhere in the universe, but I can't yet tell you if such doubts are reasonable.
So, we're going to be speculative here yet again, and very probably wrong. I won't be able to cite many facts, so if that is the sort of thing you like to read, perhaps now would be a good time to hit the back button.
Update 8 December 2016: I left out one type of motivation for building a megastructure - planetary climate control. Although these "Dyson Dots" would be relatively small, they might be detectable for transiting planets. I need to run the numbers...
The Usual Disclaimer
So, we're going to be speculative here yet again, and very probably wrong. I won't be able to cite many facts, so if that is the sort of thing you like to read, perhaps now would be a good time to hit the back button.