It all depends on relative size. Bigger networks can demand money from smaller networks and/or CDNs. Networks of comparable size can profitably peer with each other without exchanging cash. Comcast may not do it for free, but the national ISP in a smallish developing country sure might.
It's a big dance, and the relationships are constantly changing. Managing it all in software to actually optimize cost and performance is a big part of the secret sauce for a CDN.
I don't think Netflix should have to engineer a solution to that problem AND pay the ISP for the privilege of saving them tons of money.
If the costs (4U of rack space, networking equipment, and network engineering around privacy/security) are more than the ISP would save, it's an easy decision.
Note that in this case, it does not appear to be the use of an appliance. If that were the case I think we'd see the Netflix content coming from a Comcast IP.
Also it's largely semantics where a device like OpenConnect is hosted. Netflix could host it at a datacenter across town with a direct fiber interconnect to the ISP and it would be effectively the same thing. This is how all the big CDNs do it; that way they host equipment once and connect to multiple local ISPs.
You haven't been paying attention to that Edward Snowden fella, have you?
The second paragraph is wrong too, there are much closer relationships possible. They're much deeper than that today, and I would expect in the future to see CDNs much deeper in provider networks.
You have no idea how big CDNs do it. I've personally installed CDN gear into ISP racks. Sometimes you get an uplink into a router, other times you sit on a switch with other gear.
That "direct fiber interconnect" is called private peering and mostly used to fill cache boxes on the providers network.
Regardless, the word on the Netflix-Comcast situation is that Netflix is indeed hosting the hardware at 3rd party datacenters with a dedicated connection to Comcast. Whether you call it an interconnect or private peering is just semantics; it's a pretty common practice in the industry and technologically, it's no different than having a 10gig fiber link within a datacenter.