Well, for giga-structures, which in unmodded game are basically only galactic wonders and aetherophasic engine, they are, except for ringworlds, limited to one per empire, maybe two if you beat contingency, or three if you also managed to find a broken one. Other megastructures are either similarly limited, since they give empire-wide benefit, or limited to around five per empire for economic ones. Actually uncapped ones are either space stations, habitats or orbital rings and from these only orbital rings count, since building a structure with the center of gravity being inside of a planet is much harder than just building a space city.
I think it is more of an issue that, aside from mining/research/military stations, everything else is considered a megastructure, even when it actually isn't. Not only does it muddle the term, it also inflates the list to the point that it is somewhat awkward to use.