What are the problems in using an ssDNA or an mRNA for expression instead of using a plasmid?
What is the problem with handling pure mRNA nucleotides of gene X? Or
  even sscDNA?


Problems in directly transfecting a mRNA/ssDNA

mRNAs can be transfected into the cells and is quite frequently done. The problem with transfecting mRNAs directly is that the mRNA gets degraded soon and you will not have sustained expression. This is, however, very useful in certain cases such as creating induced pleuripotent stem cells (iPSCs) where you do not want the cells to continually express the Yamanaka factors (some of which are also oncogenes). 

Also, RNAs as such are quite susceptible to degradation. It is much easier to prepare and store DNA solutions for a long time.

Similar problems arise with a ssDNA. 


  Why is it you can only buy X already inside a vector (which is in turn often inside a bacterial carrier)?


One great advantage with using plasmids is that you can propagate your gene infinitely. If you were instead given a fixed amount of mRNA, then you will run out of it soon. Some vendors do practice such greedy capitalistic policies :P 

When you are amplifying a DNA using PCR then cloning it has an additional advantages: 


you can sequence the gene using well standardized primers (like T7)
you can make constructs that can express the gene conditionally



  You have an empty expression vector (mRNA or DNA) and are looking to
  clone some gene X into it.


You cannot easily clone something inside an RNA. You need specific RNA endonucleases. Moreover a double digestion will be disastrous in this case. 


  Why vendors don't generally sell a dsDNA insert but rather provide it cloned in a plasmid



A circular dsDNA is more stable
Vendors can keep the stock of the insert for future customers without having to do PCR again
Cloned insert can be amplified via bacterial cultures to obtain very high amounts (maxi/giga preps)