I'm going to assume they prefabricate small chunks of the station, have freighters bring those over and then assemble it on site, kind of like those chairs you buy from ikea.
That's what I ment

They make parts of the station somewhere probably in a massive dry dock, or onboard another station, take them into the sector, and have some kind of quick assembly, like clicking legos together with a tractor beam

The Romulans can easily sabotage the station, unity station had a massive anti-cloaking sensor array

The Romulans weren't able to tell if It was active until they are being shot at with quantum torpedos...The Romulans can easily sabotage the station without anyone knowing...It's the matter of getting caught...Either way it would be very simple to beam a deadly explosive device onto a part of the station, detonate it and warp out.