Exactly there is no correlation between ingested natural fats and blood levels (except possibly immediately after ingesting). Same thing for cholesterol -- in other words, eating shrimp does not raise your cholesterol.
A simple whey is cheapest. But for food... Cheap chicken meat is filled with water (just compare the size before and after heating) so decent meat isn't cheap. Some cans of tuna can be cheap, but salmon and other fish are expensive. So are nuts. When I say expensive it's not because 1 meal is, but because we need to eat a lot of it.
12 large eggs (not from those chicken batteries) cost about 3-4 euro. When a whole egg contains only 6-9 grams of proteins you need to eat 3-4 to get the same as from a shake.
Besides shakes don't make me spread toxic gasses like when I eat 6 eggs a day for weeks.