Where you are talking about stock mid-range PCs, you are absolutely correct, the major manufacturers do have enormous economies of scale and I guess Dell, in particular, is the classic example (this from the UK, where components tend to be somewhat more expensive than in the USA - I wish we had Newegg!).
But when you get to specialist machines and I would include Alienware in this category, the scale is smaller and so are the economies. Also, it is not uncommon for this tyoe of gaming rig to be almost a bespoke specification and so the self build provides the opportunity to get exactly what you want.The Alienware machines are excellent gaming machines and as others have said, come fully tested and guaranteed. Hardly surprising, then, that they carry a price premium.
That said, would I build or buy? If I wanted a general purpose workhorse, I'd probably buy it ready built. If I wanted something a bit out of the ordinary or a hobby project, I'd likely choose to build. This, by the way, applies to desktops - if I wanted a laptop, I'd buy it for sure!
Your mileage may vary!