As quite often, if not always, is the case, the answer is: "it depends".
First variable is the position of such a sphere with respect to planet, second is if it's complete or not, third it's albedo (there are others like planet's atmosphere, but let's assume it's like Earth's):
- if it is between planet and sun:
- if it's complete it probably won't allow life because it would block most, if not all, the light from the sun.
- otherwise (incomplete sphere) it would appear as a black (assuming low transparency) body soften eclipsing the sun.
- if albedo is low (dark body) they may spot stars sometimes being visible, sometimes not.
- if albedo is high (luminous interior) then they would see large shapes dancing in the night sky, often eclipsed by nearer black shapes.
- in any case how much of the sphere is visible will depend on how close it is to sun with respect to planet, going from quasi-invisible in the glare of dawn/sunset (close to sun) to filling half of the sky (close to planet).
- if it is beyond planet orbit:
- if complete they would have no view of Universe beyond it.
- with low albedo they would have completely black night with possible exception of planets orbiting inside the sphere, if any.
- high albedo would mean a gray/white sky at night, possibly drowning other planet's (if any) light.
- incomplete sphere would give "windows" in which to see the stars with dark or light objects (depends on albedo) eclipsing them in a more-or-less regular pattern.
Interpretation "naive" dwellers can do to all this is open to speculation (after you decide what configuration you like most).
@Innovine: asked where goes the energy captured by sphere.
Dyson spheres are built for that exact purpose: harness all energy produced by a star.
This means radiant energy should be converted in some other kind of energy and shipped somewhere to be used (possibly leaking something in the form of infrared radiation).
If this is not true (i.e.: the transformation/transport system is not working anymore for any reason) then all energy will be converted to heat and the sphere will start radiating (black body radiation) till it reaches an equilibrium between received energy and radiated energy (unless heat destroys it first, of course).
At that point you would have a sphere much bigger than photosphere radiating the same amount of energy as black body (more or less, it would depend on sphere material, to a point), which means it would radiate at a much longer wavelength, most likely in the deep infrared.
Details depend on how big the sphere is (how far from star).