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"Hundreds" of contrsuction is nothing for a country the size of China, you will be into high thousands by mid-game.
I am usually reluctant to build too much construction because it tends to be a huge amount of my expenses. My first move is usually to get up to 40 something construction sectors and then expand by just updating construction tech from there.
Is it possible to really build that much construction without destroying my income?
Since construction has a compounding effect, due to more buildings = better paid employees (so income tax) and dividends from owners. Which can make early game buildings like logging camps awesome, since they are fast to build, employe the same amount of people mine/factory (with labour saving techs off) and help to drive the cost of wood down for your wooden/iron frame construction.
Also one thing to keep in mind is that China is a bit of a special case where they have poor taxation everywhere, so it means techs that give +25 taxation capacity in every state on unlock like Centralization/Central Archives are basically free money techs for them.
Or if the message annoys you, it would go away if are running the game rule that you 100% control construction. Which is how the game was at launch.
How do I know how much construction is "right?" Just keep building construction sectors until it goes away?
Usually as much as your economy can support, since more construction means more industrialization and thus more income tax and dividends to funnel into your construction industry. Plus since you mention playing as Qing it is not like they have a lack of people.
If you don't like seeing that message you could just run the game rule where you have 100% control of your economy and no private sector construction.
Though it is also possible to hit a point where you run out of things to build due to having capped all your natural resources and maxed out the production PMs. I had a Soviet Union game where I did that and it turned into resource wars of invading nations to build out their lumber/mining/fishing/rubber industry so that I could build more factories.
to tell it shortly, to grow the 'private investment' of your economic system, which is done though changing toward a more contemporary economic law.
so more easely to say rather than actually doing it, nevertheless it is the only meaningful way. I never was China, and I figure it has to be difficult.
with 'traditionalism' as law, shall have 25% of private investment, while each of contemporay law shall give 50%, so double your intake, and at treasure's advantage.
good luck with reforming your economic system in celestial empire China, I tremble at figuring it out. if you can not, I suppose you shall adapt with lesser building growth.