I made infographic image showing what megastructures can be built together in a system
This was double checked from another post and simplified into an image to make it easier for people to find what they need to know. Mega Art Installations will share a system with almost everything, and most of the "kilostructures" like Grand Archive and Dyson Swarm will block most megastructure construction but can be built second. Matter Decompressors don't like to share.
One small caveat is that mega art installation is only compatible with other megastructures upon finishing the final stage (where you pay 2k artifacts). The stage before that technically already counts as a fully completed megastructure (for the purpose of Galactic Wonder perk), but unlike the final stage it is incompatible with others.
This is for 4.3.x so it might change in the future (but probably not unless they include other megastructures).