nah you can just create little holes in the sphere to illuminate the planets. negligible power loss. Earth and all the planets live on the sun's crumbs, no the (crumbs of the cumbs)^12
Good point. Since all our planets surround the sun more or less in the same plane, the dyson sphere could cover the remaining 95% of the sphere without affecting the planets too much. Remains the issue that you'd probably need the material of those planets to build the dyson sphere.
