Yeah, the filtering setup indeed is more complicated than necessary, I guess a more streamlined process for that would be nice (the whole aubscription process, that is, like some URI scheme that would invoke a "subscribe to mailing list" function of your MUA, which would initiate the subscription, set up the filter, configure the list address as a subscribed mailinig list (for Mail-Followup-To handling)?).
On the other hand, once you have one filter setup, it usually isn't that difficult to copy and modify it for a new list!? And signup is a one-time thing, after all. But two-click subscribe certainly would be nice and shouldn't really be all that difficult to do.
(Edit - sorry, forgot the second part of my answer, so here it is:)
Usenet is not dead, though quite a bit less alive than it once was ;-) - but no, you don't have to pay, there are a few free news servers, if you can live without the binary groups, for example:
http://www.albasani.net/index.html.en
http://www.eternal-september.org/
(Those are read/write, you can find many more public read-only servers)