A list of my thoughts/assumptions
- we have a good understanding of how stars live and die, so a "healthy" star (I assume you would only build a Dyson sphere around a star that's going to last a long time) gradually fading to nothing (as the sphere was built) would be strange
- it would be unlikely that a "dark" celestial body would be blocking it because space is so vast that for something to line up with and stay in line with the star would be vanishingly unlikely
- as mentioned in the title, I assume we wouldn't see it unless we started paying close attention to all the stars we can see
- I think you'd probably build the sphere around a relatively small star, so from Earth would we even have the resolution/clarity to see the star disappear and how it did so