Is it possible to mass update vendor prices on item records?

Yes there is a vendors sublist in the item import

Where do i find this?

Setup > Import/Export > Import CSV Records

message has been deleted

That looks correct. After that you will likely want to 'update' not 'add' on the next page. Your mapping might look something like this.

Yes the different sub lists are at the bottom of the fields for mapping on the right hand side

The problem is, that i would rather use the search in the mass update feature, because the employees that are going to update these prices will be lost if they have to use the tool shown as above.

Just an idea but you could create a saved csv import that has all the fields pre-mapped. Then you would just need to make sure the data they input always follows the same format.