One reason to build one is to have 3 million very high quality, custom-built planets, all conveniently located in the same solar system, so that you can do whatever you want to do on a massive scale without needing to waste time and energy shuttling stuff back and forth between 2 million star systems. Also, you can do as Niven's Ringworld engineers did, and build in a bunch of ecosystems, installing all sorts of living things in a huge zoo, where each exhibit is a whole planet in size, with plenty of geography to explore.
Plus, if you can, why not? Having mastered the universe, sounds like a fun project to keep you busy for a while. You're already able to play god on a little scale, creating custom living organisms and such, so why not go all out and make a custom planet, only make it bigger and better than the planets! Be good practice if you want to start building netowrks of stars, too - start small
or better yet, neworks of black holes - i bet you could get a lot of energy (or *something*) out of an orchestrated system of black holes, somehow.