You're comparing apples to oranges -- if you want a couple TB of locally attached storage, you'd get an i3.2xlarge for $450/month with 1.9TB of NVMe SSD (plus 8 cores CPU + 60GB RAM).
Using EBS volumes with provisioned IOPS give you some advantages that you don't get with a bare SSD -- like snapshot support and the ability to easily detach it and move it to another server.
you're right, the performance of the local storage on i3 instances is a lot better than normal EBS but still nothing close to what you would get from just buying an Intel P4500 or similar though.
Using EBS volumes with provisioned IOPS give you some advantages that you don't get with a bare SSD -- like snapshot support and the ability to easily detach it and move it to another server.