A VGA adapter requires a number of chips and other components to do... it's actually cheaper to buy one then it is to build one.

Unless of course you have a couple of 74HCT244 chips laying around and the tools to etch your own PCB.
the PCB stuff alone is at very least 80% of the price of just buying one.
it's not as easy to hook up either... there's literally no good place to mount this stuff. the interals on ta Dreamcast are ridiculously tight, and to make matters worse the AV port isn't throughhole and half of the pins are covered by part of the connector + the other half is covered by a large metal plate that will need to be cut away before you can even run wires to it. You'll be hunting vias on the mobo for hours trying to find even a semi-usable place to hook up your converter, nevermind figuring out where you'll actually be able to fit it.
I looked at doing a built in VGA port with a "cost is no object" attitude and determined that it just wasn't worth it.