Why will it be porous? I would worry more about the part warping and have potential heat sinks. I would also worry about the part warping because of the compressed stress in the material when you machine it.
Most likely their cost is manufacturing a mold and mounting it to their machine for a small run. You are paying for all the labor and material to get your blocks made.
For as many 'standard' sizes as you can come up with that is a lot of molds to have on hand. The other thing is you state this is a thermally conductive polymer. Is there a market for thermally conductive polymer blocks?
Can you do injection or compression molding yourself or can you only machine? Meaning your only have milling equipment and not plastics equipment.