The lore says you have to pay for teleportation in order to reimburse the Ul'dahn merchants who paid for the reconstruction of the aetherytes and you can only teleport to aetherytes you have attuned yourself with.
My guess is the only reason why you don't have to pay money inside the cities is because they(city leaders) decided to provide it free of charge for adventurers.
While the big aetherytes may be connected from a gameplay and lore perspective it's useless given that you can use Teleport from everywhere.