Definitely NOT the most expensive kit, there are plenty that are pricier. But the links are meant to fit tight so that the threads don't slip. Sometimes I use a pair of channel locks to hold the rod while I tighten the link.
What is the most expensive kit out there?
THE most expensive kit? Probably the Banshee if you can get your hands on one. When the new TDR is released it will be well beyond the cost of most anything available today, the speed version was rumored to be over $3500 just for the kit but no official numbers on it yet. The Diabolo is more expensive, and plenty of Goblin 700 kits are also more expensive. Mikado and Gaui have similar pricing. In fact the new Gaui R5 will be more than the E7SE. Synergy price really isn't that bad. I've had some experience with some of those other kits, and make no mistake - Synergy kits are definitely top quality.
Matt makes the links the way he does for good reason. I've never found them to be terribly difficult, but I do use tools to hold them especially on first assembly. You should not drill them.