Maybe you could make your own album at Shutterfly or something similar.
Nope. Photographer owns the copyright. You can't print your own albums unless they let you, in the contract you signed.
$850 is rather a lot. The justification is the quality difference, which really is massively different - trust me, if you hold just one, you won't see it, but if you hold both and compare, you won't be able to go back. The reason the photographer wants it (apart from a few extra bucks in their wallet) is so that their work isn't tarnished by shitty $5 prints. The second reason is that a photographer able to charge top dollar is also able to own the 'artistic vision', if you will; the people willing to pay top dollar do so because they put their trust into the guy with the camera and don't micromanage. Being a budget photographer is a pain in the ass because the people who want to save a buck on one thing also want to save a buck on everything else, which means a lot of back and forth and annoyance.
Is it worth it? You decide, you're the customer. It's obvious why the photographer wants it, in addition to a fat paycheck. If you want to pay, pay, if you don't, don't, but read the contract carefully and ask the right questions before you sign and find out you want the album but can't afford / don't want to pay for the album. Got questions? Ask online in a photographer forum. They'll be biased but you know their bias; they will also be knowledgeable to tell you about potential pitfalls, issues, and things that might not be obvious. Like that you can't just print your own albums or canvas prints unless the contract specifically allows you to. Not legally, anyways, and no high-quality shop will let you because it's not worth the trouble to them.
I wouldn't pay $850 for an album, but if wedding photos were extremely important to me, I wouldn't budget shop. If they weren't very important, I'd just hire a student with a promising portfolio and pay for any rental gear they might want to step up their game. (Or lend some of mine, which is getting to the point where that might be useful.)