I have never heard of most Anime not coming out on DVD, but the main reason they price it the way they do is because they can get away with it, the consumer culture has media items priced much higher then other places in the World. Even video games cost about 20%+ more on average then in the US, but the price for DVDs is so vasts between the US and Japan that companies have started gimping the video quality or taking out the Japanese voice track in the US version to prevent reverse importing.
I think the only media format that is cheaper in Japan is Manga, which is about half the price then in the US. WSJ I think is 200 yen a week, and manga volumes cost about the same in Japan as a single issue of a comic book in NA.