Plant varieties are essentially inbred, so to get strong but still predictable plants, you need to cross two varieties that have some genetic distance.
The plants resulting from a cross are called F1. F1 seeds are comparatively expensive because of the effort required to make them. (Still, they are very cheap compared to other expenses.)
If the storebought peppers are F1 then their seeds are F2 and will be a random combination of parent traits instead of the perfectly predictable F1.
Another reason to buy seed is that you can grow much more interesting peppers. For instance beautiful purple striped Blot peppers or tasty Jimmy Nardellos.