A professional paint job can easily run $20K these days, the material generally runs $3-5K depending on color, brand, etc. As mentioned, no shop is going to let you do anything because when its done, they are holding the bag for the end result; in other words if it doesn't look good, has wavy panels, etc. the owner/customer is going to ***** to the paint shop about it.
You have to remember that body shops are businesses and as such have to think about their bottom line, dealing with a dissatisfied customer only cost money and a reputable shop will want control over every aspect. Additionally there is a product compatibility issue as a body shop is going to use products they know will work together. Lastly, body shops typically only do body work (which of course includes painting); subsequently they strictly control what chemicals are used in and around the shop as some things can have a very negative effect on/with paint. Point is case, Armor All; if that is stuff is used anywhere in a shop it will contaminate a car that is to be painted causing fish eyes which of course requires the car to be sanded and repainted (about pile of money for more paint). This holds true for any silicon based material. Most good body shops forbid anything with silicone anywhere near the shop.
So, if the customer preps a car, the paint shop has no idea what they are getting and are not willing to waste time or money that the customer knew what they are doing. This is why I paint my own cars.