HBO has a budget, which needs to mostly go to dragons and the battle at the wall. The wedding was big and elaborate, definitely bigger than anything we have seen to date.
Some of the items in the book sound silly and would come across very poorly on TV.
They're cheaper than you'd think.
If they get expensive in the end, it's because we see them a lot and the number of their shots for the season pile up, but we see them a lot because they're not so expensive that they really have to limit the shots we see them in.
The wedding as they filmed it over five days and on such a scale with that many extras, cost them many, many dragon CGI shots.
The battle at the wall will no doubt be very expensive, and possibly scenes in Meereen as well.
But I agree with you, what they did was more than enough to convey the scale and lavishness of the event, and I haven't seen many mentions of people being underwhelmed by the scale or extravagance of the event as they did it. I don't see why they should have made it bigger or more extravagant. They have to be careful not to overdo it and set the bar too high too soon, or they will have big problems down the line when they want things to be impressive or very large scale. They have to be careful with how far they go with scenes like the wedding, or the mid-series battles, or the audience will expect them to top it again and again later.
In a newspaper here, the scale of the sequence was described as "worthy of a big feature film and very impressive for TV, perhaps unprecedented in scale, even for an HBO show".