Natural food colors are more expensive than making in them in a lab, thanks to Mother Nature. Synthetic colors are manufactured to produce predictable results, from petroleum based sources that keep artificial food-dye prices consistent.
Pigments from plant sources vary from region to region, and are susceptible to seasonal growing factors, like any crop. It simply costs more.
However, now that Big Food is feeling the pressure of consumer demand for natural colorings, companies are making much needed changes.