Dyson Sphere as viewed from the Enterprise bridge after entering its gravity well
A gravity well is a distortion of the space-time continuum caused by an object with mass, which can be conceptualized on a two-dimensional surface as a depression: the "well". The curvature of the well corresponds to gravity.
The Bajoran wormhole has its own gravity well. After a carrier wave emitted from the newly established wormhole relay station created a subspace inversion in the wormhole in 2371, its gravity well increased by a factor of three. (DS9: "Destiny")
The Dyson Sphere had an immense gravity well, not least due to the star at its center but the mass of the structure itself. As no radiant sunlight light or solar wind escaped from the sphere, starships were not able to detect the sphere until they were almost on top of it. As a result the sphere's gravity well came as quite a shock to both the USS Jenolan in 2294 and USS Enterprise-D in 2369, so much so that the former was pulled in and crashed on the surface. (TNG: "Relics")