Yes, deeper rim of the same weight will have lower rotational inertia.

Think about a sprint: you start it at maybe 33mph, and end up at maybe 37mph in, say, 5 seconds. Do you really think you could feel what race wheels are doing in a 4mph acceleration spread out over five seconds? That's a 12% acceleration, and feeling a <2 lb. pair of bike parts on a 200 lbs system.