I see these in many discussions of lighting, but I can't find any
information on how they are built. Are they fabricated on-sight from
standard construction materials? Are they prefabricated and simply
mounted on the wall?

In short, YES!
And with every conceivable light source. The ancient Vikings used a
long fire-pit down the middle of their halls. But I digress...

All of the above are used at various times. For general information
look at pre-made valances and coves by searching lighting makers
websites. Start with www.lightsearch.com. It is a professional's site
but you can find who makes this stuff - Yes, there are dozens of
makers.

From those fixtures you can see what works and either buy it or build
something similar.

Otherwise ask a lighting designer to suggest a method based on your
needs. I (and many others) will be happy to detail one of the many
approaches.

Richard Reid, LC
www.luminousviews.com