Yes, cable has loss. The higher the frequency, the greater the loss. Also, the smaller the cable, the greater the loss at all frequencies.
As to why it costs more than say, RG-6. Well, they make RG-6 in the millions of feed yearly. The small cable is not used for long distances so it is typically used for short length applications. So, the manufacturing costs are higher per foot. Add in the gold plaited SMA connectors, you get a much higher cost for the cables. Simple.