So an amp effect is kind of like a color of paint.

A pickup is like the brush. You can't paint a country song as easily with a brush meant for heavy metal. (I mean you TOTALLY can but why wouldn't want to use something that it was MEANT for?)

A good example of why someone might pay more.

I have a Fender Jazzmaster. It has the stock pickups in it. For the sake of not confusing you any further lets just say they're regular old Single Coils. Single Coils are terribly bright for most of what I play. I want to put humbuckers in. Humbuckers create a much mellower sound but they handle distortion very well.

They don't just make humbuckers that fit into Jazzmasters. You have to order from just a few specific places/people to get one.

So it's a specialty product that is even more specific to the guitar, the preference of the player AND the finer details about that pickup.

An amp effect like distortion for example is going to give you lots of noise and feedback through a single coil. If you have humbuckers, not so much.