We've got two puzzles.
A fairly standard scifi answer to the second puzzle is that there's cosmic rules that the interstellar intelligences don't mess with things like earth for some reason, usually that earth is a nature reserve or nursery. A problem with that answer is that we ourselves aren't good at leaving nature reserves alone when we see they contain valuable raw materials that we can use to our personal advantage.
A Dyson sphere is a structure built to enclose a star, to capture all its energy. It'd collapse on itself, there's no material known strong enough for that. But that design is unnecessary as well as difficult. A Dyson swarm is a set of independent satellites in normal orbits that together still capture all the energy from a star. The goal of capturing all energy from a star for useful work is a natural extension of our current manufacturing of solar cells. But even so, if a Dyson swarm were kept at a temperature good for supporting human life, we'd see it in the infrared, and we don't see any such objects.
A MACHO is a Massive Astrophysical Compact Halo Object. An extremely low temperature Dyson swarm would count as a MACHO, but so would a stray asteroid, or anything fairly massive and not obviously radiating. They're directly detectable by gravitational lensing of stars that they pass in front of. One theory of dark matter is that it's all tied up in MACHOs. They don't see much of the telltale lensing that big ones would produce, so MACHOs can't be too big, and they can't be too small and well distributed either or we'd see them nearby.
So, here's a possible solution to both puzzles (not one that I believe is actually true, but still).
Suppose advanced intelligences aren't bags of liquid water with sticks in them like we are, but instead are engineered devices with computer brains, operating at whatever temperature is convenient. As I've said elsewhere, consider an alien like this trying to compete with a human in a spacesuit who's losing muscle and bone mass due to no gravity and can't figure out how to go to the bathroom. There's hardly any competition here at all, the aliens win hands down. I don't know if the humans could even show up for the competition. So, there's no reason to expect aliens to require being at room temperature.
We've seen that many things have efficiencies of scale, like the internet and New York City. You pack as many people together as practical, because the number of possible connections grows with the square of the number of people. (Indexes help collate interests, encouraging useful connections.) In the case of aliens trying to live all together, the practical size limit is probably imposed by gravity or the ability to radiate away energy.
We've seen that our electronics keep getting smaller and faster and more energy efficient. Eventually you choose between faster or more energy efficient, and usually more energy efficient wins. Aliens will do this too. That helps them last a long long time. It also predicts that they'll operate at lower and lower temperatures, with a lower bound a little above the background radiation temperature of the universe (2.7 degrees Kelvin). That explains why we can't detect them in the infrared. Also, that leaves gravity as the limiting factor for the size of communities.
Suppose, contrary to common assumption, that dark matter does interact with itself and light enough to be useful to build things out of. In fact, it's better than normal matter for building computation engines and converting energy and such. So the aliens choose to build themselves and their environments almost exclusively out of dark matter operating at very cold temperaturs.
To sum it up (and I repeat I don't believe this theory, it requires too universal law-abiding behavior for me to believe it). Dark matter is all consumed by alien civilizations forming MACHOs with a surface gravity well less than 1G and a surface temperature of about 5 degrees Kelvin. I don't know if their communities are the size of the moon or the size of the sun, depends on their density. The communities are probably grouped into clusters, again for economies of scale in communication. They are surely hotter in the middle than on their surface, just because of how blackbody radiation works. These alien communities are everywhere in the galaxy and the universe, accounting for 5x more mass than all the stars and gas clouds we see. And they have a social law that they don't mess with normal matter. Normal matter (like us) is left as sort of a nature reserve. They talk to each other all the time, in very efficient compressed encrypted messages that we couldn't tell from background radiation, that and chunks of encoded dark matter tossed at high speed between communities. They're 85% of the galaxy, but we can't detect them at all (except by how their gravity affects galactic orbits).
I like this theory. Not because it's likely to be true, but because it's predictive. It says that dark matter is mostly in machine state, highly ordered for computations or devices that do things efficiently. If you were to make up a universe where this was true, and plausibly the same as our own, what would it look like?
Another possibility I've seen suggested is that there are multiple forms of dark matter, and they interact with themselves, but not with each other. For example the milky way might be seven mutually invisible galaxies all in the same general vicinty, rather than being surrounded by a single unstructured cloud of dark matter.
A similar scenario says all the dark matter is neutrinos, and the alien civilizations consist of entangled neutrinos, so the aliens are passing through us all the time.
There's another theory that, whenever a civilization becomes able to colonize space, it very predictably wipes itself out. We just haven't got there yet. This seems hard to believe ... you just need one civilization to send out a million probes before it gets to wiping itself out, and it'll colonize the universe, even if 99.999% of the colonies quickly wipe themselves out steady state.