The expensive ones are usually machined from solid aluminium and mounted on ballbearings.
Source: http://www.esoteric.jp/products/esoteric/c02x/indexe.html
Looks like a tolerance stack nightmare.
So there's a through-hole encoder, which is soldered to a PCB, which is somehow screwed onto the chassis (with a plastic intermediary maybe?).
From the other end, you have a female encoder shaft receptacle, which is attached to a purple piece, which is on a steel shaft, which is supported by bearings, which are in some flange, which is apparently screwed onto the chassis via the four mounting holes.
Somehow, by some act of God, the female encoder shaft receptacle is supposed to be concentric with the encoder shaft...
The blue female encoder shaft receptacle looks like some flexible rubbery thing; an attempt to accommodate some misalignment. Maybe it works, but I wouldn't showcase this as an example of good design.
Now that they mention 100 000 uF of power supply capacitance for a preamplifier, this screams of audiophoolery. Also the large transformers powering... I don't know what?
As stated, you need inertia for the feel. If you need inertia, steel would be better than aluminium, because it's heavier. However, aluminium is cheaper to machine.
For best feel, you need to reduce friction. To reduce friction, you must not have an overdefined shaft. A rotation axis is defined by two supports. In the previous bad example, there are the two bearings which are conflicting with the bushing in the encoder.
I would prefer to have the encoder all the way at the rear of the chassis, with a long shaft to the knob in the front. On the front panel there should be a self-aligning bearing. Possibly a cardan joint or something at the encoder end.