Violence and Economics
O'Neil cylinders, Dyson spheres, Ringworlds and other space colony megastructures indeed have many benefits, as you indicate. They have vast population densities and don't have annoying gravity wells to contend with. But they have some drawbacks: They take forever to build and they are relatively fragile. If you can either amplify these drawbacks by presenting hostile circumstances, or negate these benefits with the right technology, then space mega-colonies will be the exception rather than the norm.
One reason your civilisation does not build many space mega-colonies is because they are in a constant state of war, or at least suffer major wars on a regular basis. Wars present numerous pressures against space colonies.
Firstly, space colonies are fragile. Consider an O'Neil cylinder or a Ringworld. If you can make a large enough hole in the hull in just one point, the entire thing can tear itself apart. A Ringworld or a Dyson sphere can be pushed off axis and crash into their star (as long as you can push harder than any restoring forces). These space colonies all present large areas of exposed hull which can be targeted by weapons, and the amount of shielding is limited.
Compare with Earth-like planets. While planets are still easy to shoot at, planets automatically come with protective atmospheres, and the cautious can put a further few hundred metres of rock between them and the sky at little additional cost. Planets are also far harder to destroy, being bound together by gravity and having vast amounts of matter to distribute shocks through. Space colonies have no such gravity or spare matter.
While shields and point defences can reduce some of the risks, such defences can apply equally well to planets and space colonies, or even better to planets if such defences require vast heat sinks.
This assumes you do not invent some easily-mass-produced indestructible building material. If you can cheaply convert matter into unobtanium hulls, then space mega-colonies become better protected than planets. But even with unobtanium, there are other reasons not to build mega-colonies.
There's no time
Secondly, space mega-colonies take forever to build and use up the engineering capacity of your solar system. In war, you don't have time or production capacity to waste.
You could disassemble a planet and build an O'Neil cylinder, or you could build your colonies on a planet in a fraction of the time and cost. Then the population of your solar system will be able to direct their energy towards the war effort. If you have time to build a mega-structure, the Empire could do with a few more Death Stars, not frivolous housing.
There's no need
While planets have lower potential population densities than mega-colonies, this is not a concern for your war-torn civilisation. They are constantly acquiring new solar systems to inhabit, or losing solar systems (and reasonable chunks of their population) to their enemies. As such, the principle benefit of these mega-colonies is never needed.
Additionally, if territory changes hands on a regular basis, then there is no sense spending vast resources to create a mega-colony when there is a good chance it will fall into the hands of your enemies in the near future. You might build these mega-colonies in your core territory, but territory with even a remote chance of becoming contested will use the cheaper planetary colonies.
Space Elevators and Expansionism
Another reason your civilisation might not build many space mega-colonies (independently of war) is that the technologies and space available to your civilisation make mega-colonies redundant.
The first benefit of living in space is not having to climb a gravity well to travel. However, if your civilisation has a cheap way to ascend (or descend) gravity wells, then expensive space mega-colonies lose this advantage. This method might be space elevators, or a reactionless drive, or a (cheap) torchship, or teleportation, or antigravity, or anything else you can imagine.
The second benefit of space mega-colonies is efficient use of mass in terms of livable surface area. However, it may be cheaper to find another planet to live on than to disassemble your current planet and turn it into a mega-colony. If you have decent FTL travel and communication, and the galaxy is not yet fully occupied, then finding a new world and maintaining a connection with the rest of the civilisation is easy.
In the core worlds you may get some of these space mega-colonies, unless galaxy-wide travel is cheap and instantaneous. These mega-colonies would be the Kardeshev-Type-2.5 equivalent of our skyscrapers, used to produce a high population density close to central infrastructure. But you would still have a substantial amount of the population living in the space equivalents of suburbia and rural regions, which use cheap and readily available planets for their colonies.