It's not that weird. It's a niche motor, that'll sell well without discount, and will hold its value quite well too. There is little need to further reduce the price.
I was comparing the Golf R Estate and RS3 a few months ago as possible alternatives to the 530d. My deposit may be off somewhat, but nowhere near to the tune of £6k. I was looking at minimal deposits, so may have been £2k, I'll see if I can find the quote they gave me.
The Golf R did have a few options on it admittedly (not a huge amount, around £3k worth, and was the estate), but then it was about £100 per month more expensive than the RS3 with same deposit / miles / months. The VW salesman was trying to tell me the Golf was faster and with less depreciation than the RS3. I laughed, obviously. Neither of these things could possible be true with the engine / monthly payment.
The RS3 will still be a contender for the BMW's replacement. But I'll be waiting on the facelift, as it should have virtual cockpit then. But then nav is standard just now. I think you'd have to be mad to spend that money on an RS3 just now, when the VC will absolutely bring the feel of the car into the 21st century.