Sponsored climbers are quite common. Climbers who would have no chance of winning a competition and are climbing nowhere near the frontier of the sport can become sponsored; it's often about building connections and a name for themselves (perhaps for being really good at one specific move, or doing some first ascents in a remote area).
I think very few climbers have made $1 million in a year from sponsorships. But if I had to guess, I'd say Alex Honnold and Lynn Hill have (and perhaps a handful of a few others). Sure, it's probably not $1mm every year, but I'd be surprised if they're not making that some years. Right now, the climbing "industry" is also going through a massive boom which has led to hundreds of new gear companies, so this might be the most lucrative time ever to be a sponsored rock climber.
And yes, it's not the most expensive sport either, I already acknowledged skiing is likely more expensive. As someone who climbs outside 30-50 times a year I personally would need to spend ~$400/year just to keep up with replacing helmets, harnesses, ropes, slings, shoes, and misc. lost/broken/damaged gear. It's more because I'm adding to my trad rack constantly, but I know lots of climbers who spend roughly this amount every year, none of whom climb competitively or professionally.
And you can get a trad rack for $500 (in the U.S.), but that would just be single cams from .3-3 with carabiners, a nut tool, and a handful of slings and nuts. And you'd still have to buy it used. Add in quickdraws, double cams, more nuts, and other gear (guidebooks, bouldering pads, totems, offsets, hexes, tricams, UFOs, aiders, big bros, portledges, pulleys, ascenders, haul bags), and as a non-professional climber, it can be very easy to spend >$1000/year.
Compare this with a soccer player who plays a couple of pickup games every week. Even if soccer is a much more popular sport for people to play/watch, it's easy to imagine how the same amount of money could be spent on climbing gear collectively.