The universe is a cold, heartless place. Once we've consumed all of our Earth-based energy resources, we'll be in dire need of a way to power our furnaces and refrigerators. Our sun is a like a humongous power plant, warm and life giving. It's our best shot at perpetuating our species and evolving into more capable creatures.
At present, though, a Dyson sphere of any kind is simply beyond our means. If we chose to mine Mercury, for example, we'd need robot technology that just doesn't exist at present. Those robots would need to operate flawlessly far from their human commanders, working for decades to fashion raw materials into energy collector technology. That means extracting the valuable metals from rock and then somehow building sophisticated electronics, all without on-site human help.
There's also the challenge of getting collected power back to Earth so that it can power your television. A really long extension cord probably won't cut it. People have instead suggested using laser beams or microwaves for this purpose. But lasers lose their efficiency after traveling less than a mile. Microwaves work at much longer distances (nearly 100 miles, or 161 kilometers), but nowhere near far enough for the purposes of a Dyson sphere.
Although powering our planet this way isn't a possibility at present, the concept of Dyson spheres may very well help us find extraterrestrials that have moved past the Type I stage. In 1960, Dyson figured that if a civilization did indeed manage to channel a star's electromagnetic energy, there would be a lot of leftover heat pushed outwards as a byproduct.
Detecting that outgoing infrared radiation may be the key to detecting other intelligent life forms on the other side of the universe, which researchers are currently investigating. They've already found areas with a lot of the heat of a star but without the light, leading some to think that aliens may be trapping much of the energy.
What all of this means is that we're simply stuck in the Type I civilization category for the moment. As the centuries pass, though, our technologies may advance exponentially. And if they do, we may find that we're able to turn our sun into a power source that may transform our entire race, making us more technologically proficient and space-worthy than we could've ever dreamed.