I know it's a realism argument but I really do think that wonders don't make much sense. And in fact I do have counter-proposals

How about having "natural" wonders. Places, energies, rare animals or plants, spice melange, etc that are wonders by themselves and only exist in certain places. Then it's not about who "builds" the wonder but who control it (and profit from it in one way or another). Let's face it, if I can build something any place I like so can others.
This stuff doesn't have to be on a planet from the start, it can appear or be descovered latter as a random event.
On the other hand, maybe you NEED to construct a certain big thing to make a tech discovery or such, and when you do no other empire needs to try the same... ok, they COULD, but it would be just stupid. In this case the wonder is a mean to and end and has no other reward than the end itself. It can have a minor, touristic bonus but nothing more.
All and all, I think we are taking wonders for granted and not explored other options enought... (AFAIK).