Hi-Z scope probes use a very thin resistive core, something like NiCr, definitely not beryllium copper. A whole book could be written about the manufacturing of this wire (but isn't, it's usually considered trade secret). Another feature that make them expensive are the attenuation hybrid. The capacitor across the attenuation resistor should not display any frequency-dependent behavior, most will have a capacitance that varies with the frequency at high frequencies. This is not your standard ceramic cap.
For some insight about the intricacies of probe design, read Joe Weber's Oscilloscope Probe Circuits (available
here), published by Tektronix around 1960. This is by far the most detailed description available.