Nuking the Moon won't get anyone's attention, it'll just create more mess.
The 3rd rock around this star draws attention because it has copious liquid water, free oxygen in its atmosphere, and has both artificially produced light and sub-atomic particles emitting from it's surface. That should be more than enough to get someone's attention, if they happen to fly by.
If the civilization has achieved 100% energy efficiency, there would be no radiated heat, as that is simply wasteful.
Fundamental laws of physics apply, even if you're a technologically advanced civilization.
Maybe. But maybe it takes so much energy to bring the other power sources to fruition that you need a massive source of energy to begin with; and, it's only worth the effort to power things like ships that need more compact energy sources.
Taking a cue from science fiction: If I remember right, in Star Trek lore, the Federation gets it's supply of anti-matter from a particle accelerator built on a platform in close orbit of Sol. It extracts the energy necessary to run the process from the star. It's not efficient; so, the only place it's worth using is to power starships. They use more mundane methods to generate power for use on the planet surface.
Hell, it would give us something to start beaming signals at like mad in the hope of a return at the very least.
You should be careful what you ask for. There are things you really shouldn't poke with a stick -- Bears for one, large cats, wasp nests, hives of locusts... Aliens advanced and hungry enough for raw energy (and materials) to build Dyson spheres.
OK, there are two issues here to discuss...
You could certainly build fusion power plants. Lots of them. As your power requirements go up as a society, you just build more. Except... The waste heat. No power generation process is 100% efficient. In fact, 30% may be a reasonable number for a nuclear plant. The remaining 70% becomes waste heat dumped into the environment. Now, what happens to the electrical energy you made -- the 30%? Some of that will get turned into "stuff" or into forms of potential energy. A substantial fraction will likely get converted into heat. So, as you build more and more power plants, you put more and more heat into the environment. You can already see this in localized heating of rivers where power plants draw water for cooling. If society becomes orders of magnitude more energy intensive than we are now, the heating of the environment could become a significant problem; and, the same would apply to any hypothetical advanced alien society.
As to where you get the material to build a Dyson sphere... To begin with that's a misnomer. No one would build a sphere -- they'd build a ring or a large number of orbiting platforms. As you pointed out, the solar system is vast. If your society is becoming advanced enough, large enough and energy intensive enough that you might consider a Dyson sphere, then you're probably going to have (or be able to develop) the ability to mine the non-habitable planets, asteroids, etc. for the raw materials you need.
For God's sake, stop researching for a while and begin to think!