Seems obvious that it would be incredibly expensive to do for something very few would buy.

Let's say you manage to build a product you could sell as a niche expensive thing and not as a super duper expensive rich-people-only thing; you would still be competing against people buying an old CRT for 20 bucks or just using shaders for free (which gets you 99% there on an HDR 4k TV and takes 0% space in your house).

Another advantage of shaders is that you can make them look exactly how you want, down to particular CRT models, screen curvatures, analog signal aberrations, etc. And almost everything you could want comes already included on RetroArch by default, with lots of presents if you don't want to mess with that stuff yourself. Hard to compete with that. A CRT TV comes with only one look. But again, working with the TV you already own instead of occupying a cubic meter of your house is probably the biggest advantage.

I play retro games almost exclusively and I would never get a CRT myself, not even if it was free.

First weight. Then resolution. I think SoTA for CRTs peaked at early HD resolution 720. One might be able to modulate the beam faster now. Size. And safety - anyone starting up production now would have to solve the safety issues from scratch. Nothing like a few cubic feet of vacuum imploding to ruin your day.

CRTs emit gamma ray at high power(>5kV is usually the quoted figure), and the standard solution was a bandaid fix of attaching leaded gamma ray blocking glass onto the screen. This high lead glass cannot be recycled, and the EU(rightfully) don't like any of that. I don't know if manufacturing of CRTs are banned or legally infeasible, but it's clearly not encouraged.

There are still some types of CRT-related vacuum tubes in production for applications digital equivalents are objectively less performant in.