Definitely much, much cheaper. I don't think it's necessary at all. Looks like some 'Rube' engineer's idea. Looks good on paper. Don't do too much in the real world. Think about all the major brand amps that take the bias supply AC source from the HT winding. Fender and Marshall come to mind immediately. This Vox AC50 is the only time I've ever seen a NE-2 in a bias supply. And Vox eliminated that lamp in later editions of the AC-50.
This lamp is used on the AC side of the rectifier, so it's more like a limiter than a regulator, although you could call it both or either. It's being fed from a 375VACrms source. That's 530VAC peak!. Using round numbers let's say the neon fires at 100V. So once the neon fires, it prevents that voltage from rising higher. The excess voltage is dropped across the series 330K resistor. As the AC sinewave continues to rise to it's peak, then begins it's descent toward zero, it passes thru 100V again. The neon quits glowing and looks like an open circuit. The same action happens on the negative half cycle. So, the AC applied to the rectifier is limited (regulated) to 100VAC peak and will probably more resemble a 200Vpp square wave with slow rise/fall times. Good idea on paper.
Just a little side note... Notice there are two poles inside the neon lamp. Only one will be glowing at a time. If you could decrease the frequency of the applied voltage to say 5Hz, you could see the poles alternately firing, but never both on at the same time.