Via Peter Woit (Not Even Wrong) : The NEW justification for multiverses (from Thibault Damour) seems to be `Leibniz’s “Principle of Plenitude”:

all logically possible “things” (be they objects, beings or, even, worlds) have a tendency to (and therefore must, if one does not want contingency – be it God’s whim – to reign) exist.

I wonder if that applies to the Dyson sphere.

(It is also worth thinking about why the ‘t Hooft-Polyakov monopole does not exist.)