“A woman has to bear all the expenses of her mahram.”

Under what condition does this rule hold?

Who is responsible for her Hajj arrangements?

Payment of the expenses would be for the woman who can afford to do so. Her guardian or husband should make the arrangements, but it is not compulsory on them. In the case of a mahram who may be the woman's father or brother, he could be busy or engaged in other pursuits and will have to sacrifice all this for the woman's benefit. So, if she can pay his expenses then she can do so unless if the mahram foregoes the payment. Well, the husband would not expect payment for accompanying her wife to Hajj. It is not compulsory for the father, brother, etc, to pay the hajj expenses for a woman but, they can do so out of their own goodwill, love, compassion or good Islamic manners.