SFF cases are around $250-300, which is $150-200 more than a similar-quality ATX case. SFF CPU coolers are around the same price. SFF PSUs and motherboards have a small markup over ATX.
For example, here's a build for $3600. The GPU is not watercooled, though, since you can't fit a second radiator into the NZXT H1. https://pcpartpicker.com/list/Cr8cJb. This build has specs equivalent to the Corsair One a100, which retails for $4000. The H1 build also has a better upgrability path. Also, the 2080 Ti's price is massively inflated right now because of Ampere's imminent launch -- this build should really be only $3000.
You could also look into the Ncase M1 if you want to watercool the GPU, but I won't create a build for that because you would have to research hardware compatibility.
So it's completely feasible to build an SFF computer for less than what Corsair charges.
That build cost quite a bit more than a Corsair One at similar specs.
It’s possible to build an SFF build for cheaper, it will be very hard to do so for the same spec as the One.
The Corsair One is the first pre-built I was actually considering buying because of its form factor, use of more or less standard PC parts and the warranty and serviceability of it.
You’ll need a DC-DC set up and a custom one to boot, and an external water loop.
Not to mention that even building an air cooled SFF build is hard, SFF components are rare in many countries and often require you to import it yourself which adds a big premium in the form of import fees, you also need an SFX PSU for that case and one of the smaller ones to boot as well as likely do your own custom sized cables to actually fit things in.
It’s completely water cooled and the majority of the parts are reusable/pc compatible.
Building something of that small factor will cost you a lot in exotic and custom parts.
For what it is the markup isn’t actually terrible it’s pretty cheap considering it costs about as much or even less than some standard tower gaming PCs from big brands and it comes with better hardware.
You can build a mini-ITX for cheaper but nothing of that size that and an SFF build will cost you more.