Your second question is closer to how it's done. Since honeybees carry pollen back to the hive on their hind legs in something called a 'pollen sack' (an expandable membrane attached to the back legs), the trick is to get them to release it from this pollen sack as they enter the hive area proper. We use what is called a 'pollen trap'. This is done by typically having them cross through a barrier (usually, wire or plastic) which is just the correct spacing to allow the width of a normal bee body to pass but not so wide as to allow one with bulging pollen sacks to pass through. Thus the workers "unload" their pollen sacks at this location and the little balls of pollen fall into the 'collector' of the pollen trap (a drawer-type affair).
The main thing that makes pollen expensive is that it's labor intensive to get clean enough for human consumption. As the pollen falls into the trap's drawer, so does other debris from the hive. There are various pollen trap designs to keep the debris from getting into the trap's collector and various methods for cleaning pollen once it's collected but none are 100% successful. So usually it has to be "sorted through" visually and the pollen separated from the trash - this is what makes it so time consuming.
And the last point I'll make is that you can't just continue to collect pollen indefinitely. The bees need it for food so you can't collect 100% of all the pollen coming into the hive or it will starve the hive. The bees need it to raise their young. Most pollen traps have a way to kinda turn them on and off (i.e., either collect the pollen or let the bees pass through without collecting the pollen) so the hive won't be without it's necessary supply of pollen. Most pollen is collected during the Spring and perhaps a little in the Autumn - usually at two or three week intervals.