I see that at the heart of the method the system of differential equations is "converted" in a set of algebraic equations, by the means of finite difference method and this works fairly well.
I've not read the book, but most of the "more advanced" codes out there actually use finite volume instead of finite difference method. While they are similar in structure, based on discretizing space on a domain and using differences between those discrete cells, the finite volume method approximates an integral whereas the finite difference approximates the PDE.
I know from my own experience that the finite element method has many advantages over the finite difference method, and, in fact, that is one of the reasons why in many applications it is used much more.
Were any of this statement true, then no CFD code written since 1950 would have used FVM, it all would have been FEM. Since that is decidedly not true, then the whole statement is wrong.
There are some advantages of FEM, e.g. when studying stresses and strains of materials, but those disappear when you are considering a compressible, turbulent fluid where shocks may arise, which is fairly common in astrophysical systems. FVM is the better method for handling such scenarios.
Of course, this is not to say that FEM cannot handle such scenarios. Of course it can, since the two methods are fully equivalent. It is just that the mathematical work needed to make FEM handle such cases vs. what is needed for FVM is not generally worth the additional efforts from a software development perspective.
As to FEM being used "much more," this is almost certainly your own bias. My experience is quite the opposite, but I spent my (astro)physics career developing/maintaining FVM codes and never looked into FEM. I would naively assume roughly equal proportions of FEM vs FVM codes out there (though I could see a bias towards FVM due to many people choosing to use existing software (COMSOL, OpenFOAM, etc) rather than developing a new code).
I understand that if these practical issues were solved, simulations in numerical relativity could be done using the finite element method and take advantage of all its benefits.
This assumes there has been no research or developments into FEM GR, which is not true. See for instance arXiv:0509099, Meier (1999), Radice & Rezzolla 2011 (NB: PDF) or this dissertation (NB: PDF), etc.
I would like to know what people who know the subject think and see if they share my suspicion that the difficulty of constructing a proper mesh in 4D is part of the problem.
According to a former contributor to this site, the most challenging aspect of numerical relativity is converting the primitive variables (density, velocity, pressure) from the conserved variables (density, momentum, energy);1 the difficulty being that the conserved variables are nonlinearly related to the primitive variables with no simple inverses. In addition to that, you have physical constraints on primitive variables (e.g., strictly positive densities & pressures, avoiding superluminal velocities) that may not cleanly be matched to the conserved variables (or cause problems with the Riemann solver)--I believe numerical root finding is required for each cell to find the correct conversion.
1. The conserved density differs from the primitive density by a factor of $\gamma$.