The opposite. Planar (PCB-based) transformers are more expensive to make, but allow much tighter control over where wires and insulation go.

A properly designed one will be significantly more compact for the same power rating (compared to wire-wound one).

They are quite common in high-wattage high-reliability power supplies like modular PSUs in rack-mount servers.

I suppose it uses blind/buried vias then, to explain the costs.

Blind vias, yes. Also - compared to average 4/6-layer PCB - thicker copper layers, thicker metalization of vias, more layers, thicker board overall.