It is not just cheaper lenses. Many modern lenses, especially Auto Focus zoom lenses have this characteristic. There are several reasons for it:

• Unless a lens is parfocal the exact point of infinity focus shifts as the lens is zoomed in or out, and so obviously there will be a point where infinity for one focal length is past infinity for another.
• As temperature and other environmental conditions change, the various materials that make up a complex lens expand and contract at slightly different rates. This affects focus position for infinity. Lenses with elements known variously as LD (low dispersion), ED (extra-low dispersion), SLD (special low dispersion), ELD (extraordinarily low dispersion), and ULD (ultra low dispersion) are particularly susceptible to shifts in focus position as they expand and contract due to temperature changes.
• Auto Focus lenses use fairly strong motors to move focusing elements quickly. By leaving a little extra room past infinity, the lens designers allow the motors to power the focus assembly all the way to infinity without bumping against a hard stop that could reduce the life expectancy of the motor and other focus components.

Even with manual focus prime lenses, some designs are susceptible to focus shift at different aperture settings. Although focus shift will be more noticeable at the minimum focus distance and other shorter distances, the lens may still need a little wiggle room at infinity focus to allow for adjustment depending on the selected aperture.

The best way to get clear focus for astrophotography is to use Live View at high magnification to manually focus the lens, then leave the focus set at infinity and turn off Live View.