If you right click and try to identify something without scrolls in your inventory, it should either open a window to the Wondrous Bazaar consumables screen, or a message saying where to acquire ID scrolls.
Anyone who spends even a few minutes in PE zone chat a day will see the "Where do I buy identification scrolls?" question pop up constantly, probably more than any other question. Clearly, this isn't being explained to new players who get frustrated after checking all the consumable merchants expecting scrolls to be buyable with gold.
I'm not sure how much clearer they can make it. Without annoying everyone else.They actually offer a complete tutorial and quest that introduces the Wondrous Bazaar and Rhix. There is little that can be done if people arn't even willing to make even the most basic and slightest effort to learn for themselves.
One should check the Auction House because ID scrolls are frequently cheaper there. This may or may not be true at the moment with most people still leveling characters to 70 and identifying items for refining purposes as well but it only takes a few seconds to look. Same thing for some of the refining reagents available in the Wondrous Bazaar. Some are available for a minor fraction of the price on the Auction House because drop rates have recently improved.
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And re MSO:
This MMO deserves its middle "M" for game mechanics absolutely unavoidably forcing you to re-run stuff: Massively Multiple-repetition Online Game...