Also, maybe they just use fusion energy, that's pretty much the same thing except smaller and more feasible.
Well, fusion still requires fuel sources (lithium, boron, deuterium, etc depending on the method used). At some point all that's left is solar power.
I'm completely open to the idea of extraterrestrial life and advanced civilizations running around the galaxy building superstructures. It's definitely worth the small effort it takes to look for them. We spend a lot of time and money coming up with ways to spy on/kill each other...
That said, I also think it's unlikely that they exist. If a really advanced civilization had emerged within the last few hundred million years they would have had plenty of time to explore the entire galaxy using self-replicating spacecraft. Metal rich 3rd (or later) generation stars with decent habitable zones aren't particularly common. Maybe the galaxy is just old enough to be entering the civilization 'phase' and we're one of the first to emerge, or maybe our sort of intelligence is particularly rare.