I feel like I must be asking a dumb question, because it is a pretty obvious one. But would it be better to just buy a lower-performing, lower-cost chip in that case? Does the silicon lottery they results in an i9 also result in better performance per watt?
Yeah, it definitely depends on your use case. In my opinion the only reason to get the K or KS SKU is that you want, and are sensitive to, the extra speed bins you get on the 2 magic P-cores. The KS is a full 10% faster on single-threaded, compute-bound workloads. That's like importing the next generation CPU from the future and it is worth it for some use cases. Even with 1 core running at 6GHz you won't blow out a 125W power cap.
I haven't done this recently, and it was in a laptop CPU, but in the past I was able to get a combination of lower power/temps and better performance by undervolting an Intel CPU. Presumably something similar can be done with current-gen desktop CPUs, although perhaps they're running closer to the limits these days.