"What if it's an alien artifact?" - We're going to observe it.

"What if it's a natural object?" - We're going to observe it.

That's it. It's all we can reasonably do for now. It changes nothing.

Very little observing involves just the eyes. much of what we observe relies on millennia of assumptions. if we don't consider alternatives that we would normally reject out of hand, we can miss things.

Space agencies are already pointing every single instrument they can at this thing.

I bet the aliens are having an annual picnic in the opposite direction!