Well, no we don't, but I guess the problem isn't that everybody wouldn't think an alien megastructure wouldn't be absolutely mind-blowing, but that news about them basically amount to sci-fi. While yes, speculation about megastructures can sometimes actually be kind of interesting, but mostly it's tabloid-level horse manure from a science journalism standpoint. Megastructures get more clicks because actual explanations are often seemingly boring
I agree with you. I was pointing out how stupid the question in the title of the article was. I'm not sure if I want it to be aliens. I know most people think they want it, as long as it has no repercussions on their lives. If there was solid, concrete evidence that there's another intelligent lifeform in the universe and they have grand space-building technology, I'd be forced to rethink a lot about my life. I'm no longer the center of the universe as a human, and there's someone far better at technology than we are — a Kardashev II-level civilization. But do want to see the stars explored.