The reason a bezel is often more expensive than a prong setting is due to the higher expertise and amount of metal needed to create it. Some local jewelers may refuse to create a bezel setting for you, because it requires customization as the setting has to be created for the specific stone.
What is the difference between a bezel setting and a prong setting?
A bezel setting is a popular way to mount gemstones on rings and other jewelry. Whereas a prong setting uses small pins to hold the stone in place, a bezel setting encircles all or part of the gemstone with a strip of metal.