Q: Why are their prices so high?
A: Because people are willing to pay them.
That is it in the most simple terms. Supply and demand. If people are willing to pay the BB prices, then they will keep them where they are. If the demand falls off due to pricing, then they will need to lower prices to compensate, however as long as people are willing to pay what they charge either because of reputation, customer service, or performance, then the price will remain where it is.
I prefer to reload my own top end loads, hence other than a couple of boxes of Double Tap, I haven't bough any of the "premium" ammo, however I can run down to Cabela's and pick up BB ammo in just about any major caliber and expect that it will run up in the shake your fillings loose territory.
BB has a brand recognition as a top tier, full boogie ammunition supplier. Many people who are recreational shooters and not gun or reloading enthusiasts know that BB produces ammunition for top end loads and is available at major retailers. Many people have no clue about Underwood, or Double Tap, or Grizzly. They know BB so that is what they buy. It has taken BB quite awhile to develop their reputation, production, and distribution channels, but they are now reaping that reward. Can those other vendors supply the sheer number of rounds per year that BB can? Probably not, at least not any single vendor, so they sell more direct through their website, keep their business a little smaller, don't incur the overhead and can charge less money.