Everything that takes in energy ultimately re-radiates it. This is true, on average, of the earth, for instance, and if it weren't we'd heat up at an alarming rate. Likewise, you absorb light and take in fuel and as a result, you heat up and glow in the dark, though not in the wavelength range that our eyes are sensitive to. You glow in the infrared rather than the visible. This is how night-vision goggles work. It's also how the Spitzer Space Telescope, which went up in 2003, works. Dyson knew that his eponymous spheres would be heated to (roughly) room temperature, just by assuming that all creatures are as fond of liquid water as we are. At those temperatures, the Dyson Spheres should all be radiating at approximately 10 micrometers, right in the middle of the range that Spitzer is sensitive to. Even if there were only a few Dyson Spheres in our Galaxy and Spitzer would still be able to pick them out. After all, they're still radiating the energy of an entire star.I guess I'm not sure why they assume that a civilization that is technologically advanced enough to build a Dyson Shell (we're talking the shell here...a sphere isn't hollow) would just let all that infrared radiation bleed into space and not utilize it.
Yes, yes, the conservation of energy requires that eventually the power of the star which is surrounded by the shell must eventually leave the shell. But why does it have to leave by passive heat radiation? Wouldn't a civilization be better suited to converting it into...I dunno...a laser that they could fire at departing star ships to accelerate them? Or at approaching star ships to decelerate them?
Certainly, it is unlikely they would keep the outside of the Shell at absolute zero. But the danger in predicting the methods and engineering of an alien megastructure are that we presume to be able to forward predict the technologies - and lack of them - that an alien species would use.