'Solar wind' is going to be a negligable force unless the surface of the sphere is paper-thin. Yes there is a great deal of solar wind, but it pales in comparison to the mass we are talking about here. Even if the sphere is only 1/2 km thick, the small amount of force apon that mass (per square inch) from impacting particles is going to be pathetically small. We aren't talking about a thin solar sail here, we are talking about a structure of substantial thickness. At least we are talking about a stucture that wont tear when someone stands on it.
But could it could be done? Sure, I don't see why not. The society doing so would use their anti-gravity thingies (TM) to nullify the force of the sun's gravity apon the inner surface of the sphere. And they would have built it due to the little known bejoinkle effect, whereby a sphere around a sun not only captures its emitted energy, but also harnesses a feeling of spiritual well-being for all of it's inhabitants. Sound foolish? Well yes, it is. But my point is that we can't currently engineer a method to overcome the challenges involved in a contruction of this magnitude, nor is this kind of knowledge even on our immediate horizon. Even the question of 'why?' might be better answerable in the distant future, although I suspect the odds are in favor of there never being a good reason for it.