They'd lose more in solar potential than heat they'd save by blocking the sun - sunlight is a very useful form of energy, and you don't want the planet getting too cold either. Engineering the heat balance by changing the atmosphere, the ground or adding devoted heat exchangers like were discussed elsewhere would help a bit, but not infinitely.

If they want to keep building more, they need to go to space, and yeah, that leads to a Dyson swarm pretty fast. And then on to other stars. In the really long term there's more than enough space and matter for one intelligent species; the main currency is time until the universe ends.

Alien civilisations will have shareholders too.