The Sandy Bridge-E models are "enthusiast" CPUs, with the top version priced at $1000. Pretty sure the motivation here is that few enthusiasts use the stock cooler, so they figured they could omit it from expensive enthusiast-only CPUs without anybody raising much of a fuss. The money customers spend on a separate HSF is almost certainly going to go to companies like Thermaltake who build overclocker-style HSFs, not Intel.
I agree; that sounds like the most likely explanation, combined with a bit of obscuring inflation (in the same way food manufacturers are cutting package sizes/weights rather than increasing prices).
Incidentally, I've always used the stock Intel cooler that comes with their boxed CPUs and found them to be reliable and to cool the CPU completely adequately, even in a non-air-conditioned domestic environment. The only things that would drive me to third-party heatsinks would be if I wanted to overclock (I don't - I prefer a machine that I can rely upon to perform to specification at all times) or if I was building a completely silent/fanless machine (even my MythTV box has at least four fans in it, which I really don't notice, given the solidity of the Antec case).