On average, it's definitely more expensive, but if you're not going for the best of the best, then you can build a strong SFF PC at a reasonable price.
A lot of SFF cases (<20L) are enthusiast, boutique cases like the FormD T1 ($265 USD w/o tax), but there have been more mainstream cases like the Cooler Master NR200, Fractal Design Terra, Fractal Design Ridge, and more that are around the $100 USD mark.
Mobo options are limited compared to your usual ATX options and don't get discounted anywhere as much, so if you want a specific one with a lot of features, you'll have to pay up.
Then, SFX PSUs have their own SFF tax for being small. Depending on the size of your case, you'll want custom PSU cables that are shorter than the stock cables.
Everything else is about the same, except you have more limited choices to buy from.
Although I agree with you for the most part, as far as I understand it, there seems to be different layers to this.
Emulators are legal if they're built from ground up, but if they use any code from the actual system, it's illegal. For example, I think Dolphin tried to get on Steam, but they were disallowed because they used a "leaked copy of the Wii Common Code".
Feel free to correct me if I'm wrong. The piracy talk recently have been kind of interesting, because a couple of the emulator communities I'm involved in require proof of dump for any help such as Yuzu's Discord.