"Erecting any of these “megastructures” in space would be very expensive"

But the SpaceX "Starship" system will reduce the cost to orbit by a factor of 2000.

Also, if structures in space are vulnerable, then we cannot have telescopes and other satellites in space. But those are safe because the chance of a square meter being hit it tiny. So if a "sun shield" is made of components - which it would have to be anyway - over time some components would have holes, but the surface area of the shield would be little changed.