I always found the "alien megastructure" thing a silly explanation anyway, because the whole Kardashev thing is painfully presumptuous to begin with. Here we are, can't even agree on what people should be allowed to do with their own bodies because a Bronze-Age god might get pissy, but we are sure we have plotten the course of energy technology for the next five million years. I don't know why anyone takes it seriously.
Nobody does. Not more than how "serious" the transhumanists were. Sure, some people get
really pissed off about it on the internet, but they get really pissed off about
everything.
And I don't see any reason why aliens would be less superstitious than us. Part of developing the capability to ask questions about the world involves drumming up angry gods as an initial hypothesis.
And I can pretty much guarantee that anything we would recognize as "intelligent life" would cling to that initial hypothesis, for the same reason we do (ie, we don't want to die and we want all of our personal and ideological enemies to burn forever).