Polyethylene, as used in sabot material, is not comparable to lead-- it is a synthetic formulated elastomer, not an element. It also has a memory.
The base of a muzzleloading sabot obturates to effect a gas check. The tolerances are harder to hold in sabots; it is not a matter of simple precision.
Certainly, people have tried it-- from shoving a cheap 28 ga. Claybusters wad down their bores, to casting much more expensive urethane. How much will you pay in time, equipment, and materials to make a ten cent sabot that is unlikely to work?
In bullet casting the alloys used either for soft lead or hard are not a single element, but rather a mixture of different metals. The lead REALS, T/C Maxi's and Maxi Hunters as well as the round balls I cast also obturate to fit the bore when the propellant gases apply force to them.
Now I can understand the tollerances being harder to hold in dealing with a plastic material due to expansion, but lead also expands and contracts and is often sized after being cast. With the plastic materials I don't think it is a matter of precision like lead casting, but rather one of chemestry and engineering. Both are currently being accomplished by the present manufactures of the material currently used for sabots. It is just a matter of testing as manufacturers and wildcatters have been doing for a long time.
The last part of what you said is the most important arguement for buying premade sabots. The time, effort, equipment necessary to make it work although also experienced by people who use premade sabots would be slight compared to making your own (if that equipment and materials are even available somewhere), but that is why I think of it is as a hobby rather than business enterprise.
If you try to factor a monetary value to it, how much is it worth to have the satisfaction from the accomplishment of doing it yourself. And you have to weigh that against the expense of failure. I have a whole bunch of project ideas that failed, but you learn from those experiences and very often you find you can utilize those concepts successfully on another project.
I am just trying to locate someone who has done it in the past or an outfit who is making the equipment and materials. I may not even try it, just exploring the concept.