This assumption is very correct. Optical interconnects are extraordinarily expensive relative to copper. We have the art of manufacturing copper PCBs and connectors mastered. Putting optical interconnects into a system requires that the signal go through transceivers at either end as well as external optical cables, which are not integrated into the PCB. It’s extra components and complexity everywhere.
The reason optical interconnects are being explored here is that next gen PCIe is so extremely fast that the signals cannot travel very far in PCBs without significant losses. PCBs built for these speeds require special, expensive materials on the layers with those signals. They might require retimer chips to amplify the signal past a certain distance. These limitations may not apply to consumer motherboards with a single GPU very near to the CPU, but datacenter motherboards might need to connect many GPUs across a large chassis. The distances involved could require multiple retimer chips along the way and very expensive PCBs. Going to optical interconnects could introduce much more flexibility into where the GPUs or other add in cards are located.
Meanwhile Samtec has PCIe active optical cables, they have had them since 2012, it's a very niche application currently.