Most of the cheaper hosts won't support all your little needs. When you get a dedicated server, you get a server. That's about it. You are paying for the bandwidth and server rental. You are not paying for them to add stuff, to support anything on the server. They give you IP(s), space, and a subdomain on their servers. You deal with the rest, and you pay for an admin.
If you want to pay $4-6 a gig or whatever prepaid, I am sure a place is willing to do all the little things you want.
ZoiNk