There are several reasons to go with higher-end lights.
First, many of us here at CPF simply appreciate quality. I have had quite a variety of lights, and generally speaking, the more expensive lights are better made. To be sure, there are some exceptions, but as a general rule, there is a fairly strong correlation. Some of the handcrafted lights are works of art...and you obviously will pay more for that. I understand appreciating quality...to a point. Handcrafted lights? I'd be afraid to use them for fear of scratching it. So it would never be "used".
Second, although you may get a good inexpensive light, how much do you trust it? What if you drop it onto concrete - are you totally confident it will keep working? Again, this is somewhat subjective, but in my experience, more expensive lights are more reliable. I've had more than one Ultrafire light suddenly fail...but I haven't had any problems with my Elzettas. Whats to damage by dropping. LED is almost bullet proof. Switch...maybe. Somehow I doubt a simple drop would be damaging to either a Nebo or Ultrafire...to the point where it doesn't work. My Nebo is ~3 years old now and used almost daily...going on it's third set of cells and Ultrafires up to 2 years old....My trust level for all is very high as there have been no failures to date (except the one caused by me) .
Third, more expensive lights often come with a much better warranty, and customer service. But who needs a warranty or customer service for a $10 Ultrafire light. You can buy 20 of these for the price of one $200 Surefire.
Fourth, yes, typically performance is better. More brightness is the most common...but efficiency is often better too. There are also things like PWM and bad tint that bother some people. Budget lights often use the cheapest components that will do the job, while mid-range and premium lights usually have circuits specifically designed for a particular light. All relative and hard to prove. Without expensive equipment you can't tell what's brighter than another....surely the human eye can't tell. An XM-L T6 at say 1A will be equal (lumens, not lux) in all lights regardless of cost of the light. Different LED's have differing tints and brightness, but then you're comparing apples and oranges, not quality or price. What are the "cheap components" you mention? Basically, all there is, is the flashlight case, lens, reflector, switch, circuitry including the LED, and battery.
All that said, I agree with 202BIGMIKE. If your inexpensive lights are meeting all your needs, then there is no need for you to spend more. Be happy that you found lights that work for you at a low price point!