Why are PCB-mount AC DC converters so expensive?
The main difference is that the volume of production for board-mounted AC-DC converters is very low, so you pay a boutique price. 

Decent quality fully approved (safety and EMC) wall-wart adapters are made in huge volume so the costs are relatively low. 

When was the last time you saw an AC-DC converter module in a consumer product? Usually it's either a wall wart, or an open-frame power supply or a custom power supply board.