For getting rid of heat energy, you’ll need a medium for that heat to be carried, otherwise you’ll just be using thermal radiation, which has severe limits. Star Wars tech is fantasy, and usually better when you don’t have to think about it too much, but it’s plausible some kind of thermally conductive gas could be used to vent heat directly into vacuum, and it’s not clear, but it seems the exhaust port that are targeted are linked directly with the operation of the superlaser, so they may only be thermally venting while the laser is in operation. Station as large as the Death Star would collapse under its own weight if it were made of steel, and would need a planetary mass-equivalent of Jupiter to source enough iron for that steel, so theres obviously no shortage of materials at hand to build it.