Why can we say “worth more than” but not “expensive more than”?

Expensive is behaving as a typical adjective, which are only modified by preceding degree words, e.g.

It was more expensive than...
It was more sudden than...
It was more amazing than...

If we pretend for a moment that is worth was a verb, we could compare it with some other verbs of measuring activites, e.g.

It weighs more than...
The room seats more people than...
It measures more than...
It costs more than...

The phrase is worth behaves likes a stative verb. The only other comparable phrase I can think of is [be] up/down as in:

The Lions are down three points.
The Lions are up more than the Bears were up at this point last week.

If worth is an adjective, then it is one which is almost always restricted to being a predicative adjective. This is how Oxford English Dictionary (OED) describes it, noting that it is used

Almost always (now only) in predicative use, or following the n. as part of a qualifying phrase.

What is interesting is that although an expression like

*Gold is more worth than silver.

with a preceding degree word, would be usually considered ungrammatical, there are several attestations listed in OED of exactly such a usage (where a degree word precedes worth) from the Early Modern English period:

1568 Newe Comedie Jacob & Esau ii. iv. C iv b, Ah sir, when one is hungry, good meat is much worth.
1581 G. Pettie tr. S. Guazzo Ciuile Conuersat. (1586) iii. 138 It may rightly be saide..that the feathers are more worth then the byrde.
1615 W. Lawson Country Housewifes Garden (1626) 6 Fruit blown vnripe, are small worth.

I'd say worth is an unusual word, and has only become more unusual in recent history.

Worth is a difficult word.

For example

"The categorial status of worth is a matter of some dispute. It has variously been claimed to be a preposition and an adjective (cf. Maling 1983 and McCawley 1985). If it is a preposition, then it must have a homophonous derived noun, since phrases like the worth of the book are common enough. On the other hand, if it is an adjective, then it must be transitive, since it has a complement; this is surely unusual -- or even impossible, according to some theories of grammatical categories.

"Let it stand that no matter what category worth may belong to, it is an atypical example of the category."

In this particular case, worth is behaving transitively, since it has a complement with a comparative construction: more than . . . .

Expensive, on the other hand, is an ordinary adjective and has to be either a predicate adjective

• That necklace is more expensive than she can afford.

or an attributive adjective

• She didn't buy that expensive necklace.

And the comparative construction places adjectives after more, not before more.