Penn State isn't alone....there are a few things at CSUSA (like some of their drill bit sets) that appear so nearly identical to HF that it's silly. Even if they aren't coming from HF directly, they're surely coming from the same factories.
Now, that's not to say that woodturners are getting "ripped off". We're all free to shop around and patronize whichever business we want, nobody is forcing us.
Maybe someone lives far enough from Harbor Freight that they don't want to spend the $5 in gas, 45 minutes to/from the store, pay sales tax, and spend time in the store as well. If they're already placing an order from Penn State, they can get the drill bits, combine the shipping, and overall come out even - or, if you factor in their time, even cheaper than if they went to HF. Personally, I appreciate it when places like CSUSA and Penn State carry a wide variety.
But, if that's not the case, we're all welcome to drive over to HF. I would say that we're able to order from their web site... but that can take a LONG time for some things to arrive, so I don't think of it as a good option.