Well, first off, you can either use the configuration tool on the website to put things together, but that's not all you're limited to. That's just the fast, automated way of ordering and seeing a decent lineup of stuff. If you're serious about computers and know what you want, then you contact them directly and talk to a consultant to set up a custom machine. Doesn't cost you anything extra, and you can really pick-n-choose what you want. Anything they can get their hands on, you can pretty much get.
Second, I understand fully the argument of building a machine yourself for cheaper, but that's not what Alienware is there for. Alienware is a computer company, in the same bracket as DELL, Gateway, etc, but way at the top of the stack, up with Falcon and SysTech.
Third, a very small percentage of the people going to Alienware are of the type that don't know anything about computers (unlike the majority of those going to DELL and Gateway). Most often, they're professionals and business-people who want an excellent laptop/PC with great support and good features, without having to build it themselves. Alienware is setup to be the cream of the crop, for those who don't want to build their own PC, or those who don't have the time to build their own PC.
The bottom line is, computer hobbiests with the time and knowledge to build their own rigs, aren't the target market for Alienware.