Given the small amount of knowledge we have about how our sun works, and our present science says it's so hot you'd be vaporized before you could get within a million miles of it - there is little wonder that if the ET's wanted to hide something in plain sight, you would hide it on the sun. This would be true from the smallest star gate terminal to those which are capable of transferring planets themselves from one side of the universe to another. Obviously power to run these entities is no a major concern. A single few square feet of the sun has more energy than the entire earth can make in years.

I would guess that being able to shuffle a planet sized object from one edge of the galaxy to another is going to be a serious power drain.