Lots of hand labor involved, lots of paperwork, lots of inspections and testing, plus SOMEBODY has to pay them liability insurance premiums
No, You don't HAVE to hire a boiler shop. All you really have to do is have your shop inspected, those performing the work tested, all your WPS approved, pay your application fee for a builder's stamp, remember to document EVERYTHING, and get yourself at least a million dollar Hartford insurance policy...generally unless you plan on building more than a few, its actually cheaper and simpler to outsource.
OTOH: If you are building it for your own pleasure, to operate on your own private property, and no one outside yourself is going to be anywhere near it when its under pressure, then you don't have to do any of the above, and are generally free to build yourself a bomb.