In order for Scorpio to be $399, MS will have to eat $100 to $200 on every console sold. Its hard to say how much they will have to subsidize, but I'm being generous no doubt. It could be more.
Pro was able to sell at $399 because PS didn't get AMD to modify the CPU or GPU used this time around. In PS4, PS had AMD modify Jaguar and Pitcairn to match what they required. This time for Pro, the same Jaguar cores in the PS4 are used, they are just using AMD's new 14/16nm tech now, which allows the bump in clock speed. The GPU however is not Pitcairn, it is AMD's newest 14/16nm Polaris tech, without modifications. The only semi-custom part is that Jaguar and Polaris are fabbed together on an APU, which is not a stock AMD chip. Polaris being a mid-range GPU and the fact that it was fairly easy to slap Jaguar and Polaris together is why Pro is so cheap.
People couldn't believe that AMD's new Polaris 480 graphics cards were only msrp $199. The reason for this is because Pro is using this exact same chip (down clocked to 911 MHz) so due to the high volume mass production, that chip can be much less expensive. This benefits AMD as well as PS overall. You also have to take into account that PS doesn't pay AMD $199 for each GPU. PS only requires the chip itself, not everything else that comes on the PCB that makes up the $199 price. PS designs their own PCB for PS consoles, and simply mounts the chip to the board. The cost per GPU chip is much much less than $199. This is the same for MS. They design their own PCB, and just buy the GPU chip from AMD.
A similar situation will most likely happen with Scorpio. MS will probably use one of the Vega GPU's (even if its a cut down version at a lower clock rate) and this will help lower the cost of that specific GPU model for AMD and MS overall. The difference will be in the fact that Vega is not mid-tier, its high end. This will make the lowest, cheapest version of Vega $100 to $200 more than the best Polaris GPU. This is why Scorpio will cost a minimum of $499. At that price MS could potentially break even, maybe. They may have to eat $50 to $100 to get it to a $499 price point though.