Technically, the star-destroying component DOES destroy the entire ship when it's used - along with everything else in the system. Same for the components that create black holes or system-wide nebulas.
I'd also have to say I agree with everyone else's points here: they're already pretty expensive to build, expensive to maintain, and use a lot of supplies (which is tricky until you research the Quantum Reactor); but I also think they're fairly expensive to research. Don't you need a level or two in Astrophysics, and then up to 5 levels of Stellar Manip to get star destroyers? Granted, the warp closer and the planet creators are pretty low on the Stellar Manip tree, but you're still sacrificing a lot of weapons research to get them.