Another reason is that being business messages such as order. invoices, credit notes etc there is a lot of financial worth in the transactions and they need to be secure but perhaps more importantly they need have end to end validation and verification as well as non repudiation.
For example i send you an order for 1/2 million Euros worth of goods, you send me the goods, then i "lose" the order information and tell you i am not paying. The combination of the standards and the VANS make this almost impossible or at least with so much of an audit trail that it the problems could be tracked. This is why the "Oh let use xml and the internet instead of EDIFACT and the VANS" tend to fail. As someone els answered, Inertia, but it is an inertia founded in a stable effective, secure, reliable and well understood system.
Doing it on the cheap is not always an option.
If it is any consolation when i first implemented EDI in '87 there was virtually no software around and so i got the Interbridge tables and wrote my own parser for the UK TRADACOMS standard using Cognos software on and HP Mini, and it worked fine. Assuming you are trading with other EDI partners the cost probably comes at the point of needing to use a VAN.