You say that now when your entire civilization is limited to a single planet. But I would imagine the novelty wears off after you've explored billions of venus-like planets. For a galaxy spanning civilization, it would be equivalent to destroying an acre of the Sahara.

An appropriately stiff integalactic tax on entropy, enforced only above some enormous threshold like burning a planet, could be optimal.

Because you're right -- at some scale, for some payoff, burning a Venus is the right decision. But ceteris peribus, harvesting from the entropy already present is better than adding to the universe's entropy.