Projects such as these consume large sums of money no matter who funds them. But the scientists that worked on it were not forced to work on it, a large number of them were refugees from exactly the kind of regime that the OP contrasts the United States with, which at the time, side-by-side would definitely be favorable for the US.

Military projects, especially making the most powerful weapon in history for use in the largest war up to that point, are always done with as much secrecy as is feasible. Living on-site was also practical: the reason the site was as isolated as it was was in part because of secrecy, the families being there was both to improve security and for convenience. Finally, yes, every word they said was monitored. But they were scientists and their families working on top secret machinery of war, which ended up changing the course of history in a significant way, they quite literally ushered in a new age. They knew they were monitored and that this was one part of the price to pay for working on that project.

In contrast with that age: now all our words are monitored, even inane ones that are exchanged between people who would have a reasonable expectation of privacy.