Is it common for tubes to outweigh the cost of the amp or preamp?

That doesn't sound like a good investment. 

Changing tubes can have a positive effect on the sound or it may sound worse.  Or those expensive tubes might go microphonic in a month or few. 

I personally have found tube rolling in different devices to make relatively small differences in the sound signature, much like cables.  To me, it's worth doing, but in moderation.

I would have been inclined to buy a better amp than to have spent that much on tubes for a relatively inexpensive amp.

The difference when tube rolling isn't typically revelatory, which is what I would want expect if I spent as much as you did relative to the cost of the amp. 

I don't know what headphone amp you purchased, but even if it was used and you got a great deal on it, you shouldn't expect too much for what you spent. 

I hope you have an option to return the tubes.  My guess is you're going to be disappointed.

Good to hear that you are enjoying your purchase.  At the end of the day, that's all that matters.