http://en.wikipedia.org/wiki/Light-emitting_diode#White_ligh...
The fundamental challenge is that the wavelength of light emitted from the LED is constrained by the band gap structure of the diode. To get white-looking light, you need more than just one narrow frequency band.
For instance, until some new materials were developed in the 1990s, this is why there were no blue LEDs, only red, green, and amber.
http://www.amazon.com/We-Were-Burning-Entrepreneurs-Electron...
This is a special physical property of the phosphor material - not simply a function of its color.
Normally this yellow phosphor material is applied directly to the LED die - but they figured they would put it on a plastic shell outside the LEDs. It doesn't actually make any kind of performance improvement except that the light is more evenly distributed.
If you tried to paint the shell with the phosphor - you would most likely have blue light shining through it - that's why they need so much technology to accurately dope the plastic phosphor, so that the light output is an even and consistent color.
If you "paint" a surface a particular color to alter the light transmitted through it, you're effectively creating a filter. If you want something to appear more yellow, you need to increase the amount of yellow wavelengths transmitted through the filter by reducing the other wavelengths. But if you have a single color LED, such as blue, there are no other wavelengths present (at least not in any significant amount). So if you put a yellow filter over a blue LED, you see nothing...
It costs so much because if something cannot compete on cost, it has to compete on premium features at a higher price point.