Some pretty smart people think that harnessing a star’s energy is the next step in our evolution towards being a galactic civilization. Even if we are trying to develop other technologies to produce energy, having more than one idea on the go is probably wise.
A Dyson sphere is at least plausible, and other technologies we’ve experimented with have turned out to be less likely to work. I don’t think we have equally plausible ways to get a comparable amount of energy.