The sphere is the most efficient use of volume in space. Rectangles are only convenient for humans, and the Borg should not be concerned about convenience.
If the Borg were really about efficiency, they'd build spheres. But spheres are more boring, which comes back to my original point.
It's a lot easier to make a flat steel i-beam than it is to make a curved steel i-beam. Who knows what their manufacturing process is though. They probably just 3d print those things, or grow them out of nanobots, and then my point is moot.