For example, why couldn't you use the waste heat like a power plant? Use it to boil water, to turn turbines, to generate electricity, which gets sent and consumed elsewhere? Adding to the heat wherever the electricity is finally consumed. (Ignoring various losses along the way).
“Elsewhere” is still somewhere on the Dyson sphere.
Or if you magically beam 100% of the captured energy somewhere else, now that place gets to deal with shedding the heat from however many 1e26W+ of power were consumed. God help the poor planet you aim that ray of death at.
