Perceived superiority? Most of the people who fall under the newbie impressions of Japanese-style superiority probably can't afford the more expensive swords in the first place. Ironically, at least half the people I know who are willing to pay ~$500 for a "using" sword are convinced of Euro-sword superiority, and a solid amount of those pretend to be victims of an overly katana-glorified world.
There's a lot of possible reasons why katana cost more on the average.
Katana use fittings and handle construction that is more complicated than that of a European or Chinese sword. Materials involved cost money, and carving the tang channel is a little more involved than making a Euro sword handle. Itomaki takes time and patience to do with any degree of comfort or competency.
The decent lacquered saya with proper koiguchi/kojiri/kurigata requires quite a bit of work also.
Heat treat is usually much more risky than it is for your typical European-style blade. Sorry, but it is. Even the best of makers don't always get what they want, and a good number of swords enter the scrap heap just from heat treatment not going as-planned, even if well-executed.
Shaping...most katana have a "zero" edge, opposed to having one simply ground on as a secondary bevel after the sword is made. This is sharpened through polishing rather than a quick passover with a belt grinder. The kissaki is a tricky area to shape and polish in conventional swords (though many modern ones have a false yokote which is really disappointing, and makes for a not-quite-as-wonderful overall blade in my opinion).
Polish: Katana have a relatively high degree of polish if they want to display the hamon reasonably well, and particularly if there are other effects to show in the steel as well. A good polish costs a lot of money, and most European swords don't have that.
Of course, mediocre Japanese style swords don't really cost more than mediocre European-style swords do they? And I also recall seeing a number of high-end European swords [comparable to excellent Japanese-style blades] also selling for thousands of dollars.
I also think more people like the katana as well as Japanese martial arts. The demand is greater, and most people I know who show severe interest in European swords will not fork over too much more money than absolutely necessary to get a "good quality sword." Maybe JSA practitioners are more snooty and wasteful of money--insistant on acquiring the best possible tools to compliment their practice. This in part explains the demand for upper-end Japanese-style blades being greater.
Of course, you were referring to Cold Steel's products, and I understand the katana they offer does not incorporate the heat treat and likely the polish that I mentioned above. Personally I don't feel they're worth anything near MSRP in the first place simply because of their through-hardening nature. That's just me though.
If you look at dealer pricing, you will notice that the price difference will be approximately half what it normally is, which may more accurately reflect the amount of work and materials that go extra into their Japanese-style offerings. Of course, with demand for sub-$1000 high-quality katana being very high (and people wanting alternatives to Hanwei), one can understand that the price is gonna shoot up just a little more than the others.
The sword market is funny though. I want to see more historically accurate (in terms of weight/balance) Chinese swords on the market in the $500 range and also in $1000+ range. However, despite the huge numbers of people using Chinese-style swords, no market seems to exist for high quality stuff. Many people who practice Chinese arts are perfectly happy with the mediocre (and worse) tools they get. Goes to show that the sword market is influenced by a lot of things.
Sorry it's late, I'm tired and incoherent. Time to shut up
