There are correct as in if properly trued, a cheap set will go round in circles the same as an expensive set, but you don't just buy an expensive set for that.

If you are looking to pay out a lot on wheels, you are looking for performance, normally aero, say in time trialling, where you are looking for seconds over a set distance, an expensive set can help with this (although you need a really good engine first).

Different uses will have different requirement, tourists will want strong and durable, road riders light weight and aero. Many factors involved here.