If it wouldn't be too expensive, they could put the gpu core( or cpu whichever is smaller/cheaper ) and extra batteries into the headcase, which would be designed with a heatsink.
The Gear HMD is so cheap because it can dump a lot of development cost on to the Note 4. If you had to do another Note 4 version just for the HMD, then it'd probably put the price point at $1000+
They haven't, actually. But it's an accessory for the Note 4: a plastic headset with a couple lenses and a touchpad. The point is if it was a complete product the dev costs wouldn't be amortized over a million high end phones.
