The comma there is not incorrect but it is unnecessary. Most readers would not misunderstand what you are trying to say.
However the phrase "by the decision of King Okkalapa" is awkward. Kings make decisions, yes, but then they issue decrees to tell people what they want done.
A shine was built there over 2500 years ago by royal decree of King Okkalapa.
Although I would prefer not to use the passive voice:
Over 2500 years ago, King Okkalapa decreed that a shrine be built there.
If you prefer you may use "order" or "command" (or another synonym) instead of "decree".