I really dont see why people say that. The molds are expensive (34 dollars) and dont produce many bricks, requiring you to either slave away at cranking the bricks or shell out more money for an additional molds. The plaster isnt exactly super cheap either, then you add in time assembling stuff. Further, unless you design it to be modular, you spend a ton of time making a building, then have to store it forever.
If you have a lot of time on your hands, you can make some stuff a bit cheaper than DF, if you're in it for the long haul. For joe average who wants to make some dungeon rooms,. I'd say a few dwarven forge basic room and passage sets (79 each) will go much further. For a few hundred bucks you can make a good setup. With hirst arts, for a few hundred, you get the stuff to make the stuff to make a good setup. It adds the benefit of making exactly what you want, but I wouldnt really say its FAR better.
One unexpected problem with both is how empty rooms look once built unless you also get some accessories. You've got these great setups, but nothing in them but PC's and monsters. Mega miniatures, JR terrain and printed out cardboard props from worldworks can help this.