First off: These devices aren't "built from parts" at all, but have a custom designed mainboard containing all the relevant parts. So unless you are a total crack PCB designer with access to parts you usually don't get in single quantities (like GPU chips), you won't be able to build something on the level of a commercial handheld.

Second: All the things you listed are a balance. Improve one, lose out on another.

Make it slimmer and you lose battery and cooling (and thus performance).

Make it perform better and it will become more bulky (cooling) and you will lose battery performance due to higher energy consumption.

Increasing battery life either increases bulk (larger batteries) or reduces performance (more energy-efficient components with less performance).

Improve the screen and you will lose battery life (better screen need more energy) and performance (more pixels to render equals fewer FPS).

You can strike a different balance than the Steam Deck, but you won't be able to improve everything all at once.