What you have to understand, is that an S2 is the price it is because PRS refuse to compromise on Quality Control in the building and assembly of their guitars. If you want 'US' made Pups and other 'high' end parts that you get on a core at that price, then PRS would have to compromise a LOT more on the guitar and 'Base' or 'Spine' for what makes a great instrument, compromise on QC (and the time it takes) to make a guitar. A big part of the price is the 'hardware' so if you put much more expensive hardware on it, you move into CE pricing - its already getting close with the S2 McCarty models.
Where a Pick-up is wound does NOT determine whether its a 'great' pick-up or not. If the exact same materials, the same wire, magnets etc are used, it doesn't matter if its wound in US, China, Mongolia or Timbuktoo - if its wound the same, it will be the same - maybe cheaper in some places because the overheads (wages, amenities, rates etc) and price of materials will differ. I am NOT saying the 'S' pick-ups are using the exact same quality materials, the same purity of copper wire etc but are deemed 'good' enough for PRS to use in their SE and S2 models, good enough for PRS to have their name on the headstock.
PRS are extremely particular about the woods they use and the way they are dried/cured before building a guitar. The same standard applies to S2 Maple/Mahogany as it does to Private Stock - they are all dried/cured to the same standard. That gives the S2 a fantastic base, the bones that hold everything together and create a great 'base' for a musical instrument. The fretwork and playability of these are superb and I have not heard any complain about the quality of the instrument or tone of the Pick-ups. In fact, in the latest Guitarist magazine, they review the S2 35th anniversary Cu24 and all 3 S2 McCarty models and ALL received very positive reviews with high scores. Some struggle to hear much difference between an S2 McCarty 594 and a Core one despite the differences. That guitar is half the price of a core! If they swapped the Pups out for US 58/15 LT's and all the other different hardware, I bet it would push the cost over their CE/Bolt on models and then people will be saying why not just buy a Core instead...
Unless you are building guitars to the best of your ability and NOT willing to compromise anywhere, not something we see in a LOT of guitars - there is ALWAYS compromises to manufacture that guitar to hit a certain price point. Whether that's using 'veneers' to look better because prettier wood costs more, using multiple 'smaller' or thinner pieces of wood to reduce the waste and again 'cost', to get more guitars from a similar quantity of materials, to reduce overheads by making them in areas that are cheaper to run a factory and pay the wages, using parts made in areas where its cheaper (not necessarily reducing the quality - although that too can help hit lower price points), not spending as much 'time' or effort to ensure a guitar is perfectly ready to move to the next stage (quality control) or making the design 'different' to ensure it doesn't take so long to sand, using 'cheaper' materials (again not necessarily lower quality - some 'generic' Mahogany instead of Honduran Mahogany for example - some related species that's cheaper and more abundant) etc - there are MANY ways that guitars are built to fit a price point and 'compromise' is made. Again doesn't necessarily mean the instrument is 'worse' and can still be the 'best' guitar you can buy for that amount - opting to change the things that have the least impact on quality, playability etc and still upholding the brands values but at a more affordable price point.
I think its more important to get the base of the guitar right. I think its worth giving the 'S' pups a try - even if you don't like them and swap them out, it might not be 'just' because they are 'S' pick-ups but the fact you prefer a different sound, maybe a hotter pick-up voiced differently but the 'S' pick-ups are great and some may say, the best Pups on guitars in that price range...