Some cities and counties such as LA require safety approval but it doesn't have to be UL. There are many other safety agencies such as CSA, ETL and TUV are similar. Canada, like the EU also requires safety approval on all electrical devices.
The cost of get an approval can easily exceed $10,000 depending on complexicity of the device. There is also annual fees and unannounced factory inspections to ensure that the parts used in production are the same as the submitted test sample.
CE approval is usually more expensive because it requires EMI and a host of other tests like surge, esd and so on. In addition to the test costs, many test samples are needed since most of the tests are destructive so there is additional costs.
For many small manufacturers, the cost is too high. When I worked in the network industry, I spent $200k a year for all sorts of approvals and thousands more in equipment cost.
Also, it's possible that meeting some of the safety requirements could have negative effect on sound quality. For example, to meet EMI and ESD requirements, filters might have to be installed on inputs and outputs connectors which may impact sound quality. Digital devices such as Dacs and Cd players produce lots of EMI.