It's not that hard. At least not for the types of plastic commonly used in modeling. I made one when I was a teen using an electric griddle plate as the heater and a pair of window screen frames as the plastic holder.
That machine was rubbish for a lot of reasons, but it did the heating part well enough.
A few years ago I did something where I heated the plastic by hand using a painters heat gun, because I couldn't be bothered to build a whole machine for one project. It actually worked quite well, just more slowly. I've seen lots of good cheap solutions online that other people have done, like lining a box with foil and inserting a heat gun through a hole in one corner so the hot air swirls around inside the box, or putting a pair of electric hot plates in a box with a heat spreader/diffuser made of dollar store aluminum baking pans.
IMO it's maybe $50 hard, not $400 hard.
The biggest complication is actually what type of plastic you're planning on forming. Sundayhero was probably working with polycarbonate (the most popular material for RC and slot cars, due to its stiffness to weight ratio), which is notorious for being extremely fussy to thermoform. I wouldn't take experiences with polycarbonate as representative of vac forming in general. For our uses (and most uses, TBH), I'd recommend polystyrene/ABS for opaque plastic, and PETG for clear, as they are super forgiving to work with, and accept glue and paint very easily as well. Steer clear of acrylic, polycarbonate, or PVC until/unless you have more experience, though TBH those are special use case materials, so you'll probably never need to go there anyway.
TBH, there's bigger problems with the machine linked to there. Powering a $400 vac former with your vacuum cleaner is lame. Vacuum cleaners can work in a pinch, but if you want to get really nice pulls, spring for a vac pump and a small air tank so you can do a 2-stage setup. The rest of that machine is piddling stuff you can DIY for a few bucks here and there. Including the heating element, which would be super easy since the machine is so small.
Basically, for around $100 (potentially much less, if your scrounge-fu is good) you could DIY something much, MUCH better than the machine they're asking $400 for.