I have a PhD in aeronautical engineering, concentrating upon the development of flight test techniques, with a heavy slant on safety and airworthiness.
I have supervised a couple of closely related PhDs, and could do again at a UK university I have a close association with. No, it's not cheap - but compared to the number of hours you'll put in, the number of euros are quite trivial! (Actually a PhD is probably cheaper than an MSc in most cases, because you aren't taking up expensive contact & lecture time to the same extent.)
Why a doctorate PEI asks. I'll offer an answer to that. An MSc is the qualification for highest level practitioners in a field, needing the highest standard of professional knowledge. A PhD is a research licence, training and qualifying somebody to engage in independent research in certainly their core topic, but often somewhat different subject areas.
So, you pick the one you want, for the career you want. Whilst technically a PhD (or related doctorates such as Eng.D) is a higher degree than an MSc - and going MSc then PhD isn't that unusual, in practice they are quite different beasts and sensible people will choose the route that suits their personal aspirations.
Cpt - if you want to contact me offline, I'd be glad to talk narrow specifics. If you want to talk generalities, I'm very happy to do it in public here.