Bike shops that sell frames to the customer make very little on the frames (usually around 30%). They only offer this service (selling frame only) because they hope to make a bit more money off of the build. If you appreciate having the option to buy a frame through your LBS and do a custom build, you may consider having your shop do the build and sell you the parts, as it makes that service sustainable for them. Unless you or your friend are very skilled and experienced with complete bike builds, they also tend to have a much better chance of getting it right the first time, and of honoring the work they did.

If you are getting a "custom" frame, as Eden and Lisa implied, many framebuilders offer a "complete bike option," and usually the price is reasonable. There is very little overlap between actual custom framebuilders and bike shops these days. The reasons are mostly financial--in general, a true custom builder cannot afford a wholesale structure, and must sell direct to the consumer to have a decent chance to make a living.

Companies like Seven and Serotta are not considered custom framebuilders, but low-volume manufacturers. (That's another story for another thread)