Weight and volume. The air has weight so it'll cost more to launch. The volume would also make them more difficult to launch. Assembling or unfolding in space near earth would allow you to make them larger and inspect them before they leave for venus.
Oh I like that idea! Tricky to get it through the deceleration phase into the atmosphere but it would have a lot of volume. You would want some way to detach the engines (less mass) after you slowed down while still sealing the tanks.
Yes, but you could still construct it in orbit. Imagine building four quadrants, spooning them together for launch, then fusing ("cold welding") them into a sphere in space.
It is surely better to construct them here, where we have all our tools, and if really necessary pump them out here. There just isn't an advantage to doing it in space. You end up paying more to create a lower-quality sphere.
And what weighs more - the air that got trapped in the sphere when we made it, or the machine we sent up to space to assemble a sphere there?