If you made it out of steel, it would survive just fine -- there would be some ablation, but it would still get to the ground.

As to the "more expensive"...no, not really. Basically, it's just a crowbar with a simple camera and some fins on it. Using this technology it would trade in the camera for a radio back to the launch vehicle. You'd need all the same bits on a missile, plus more besides, and the missile would need to be larger.