Basically, it comes down to the method and volume of production.
Most miniatures are created using a process called plastic injection molding, which is expensive to set up, and requires a large volume in order to bring down per-unit costs. Because I'm not manufacturing a large print run of this game, and because the messiah miniatures would need to come in four different colors (each requiring its own mold), the numbers just don't add up to make plastic injection molding economical. I would need to redo the game so that every copy comes with the miniatures, and even then, I would still need to increase the price of the game substantially to accommodate them! (Either that, or I'd have to manufacture a way larger print run and take on the risk of having thousands of extra copies of the game just sitting around that I can't sell.)
Under these circumstances, doing bespoke 3D printed miniatures was the solution that made the most sense to me. Additionally, 3D printing allows me to produce strong, highly detailed miniatures that can support the relatively small, thin projections that we see in each messiah's design!
In addition to this, the messiah miniatures are about twice as tall as normal miniatures, and therefore require roughly eight times as much material to create. This, in turn, increases their weight substantially, which makes them feel extremely satisfying to play with--but at the same time, also increases the cost to ship them. Add it all up, and using a commercial 3D printer, $35 is pretty much exactly what these things cost to make and ship.