I understand it's probably not a issue for road bikes, but I just wanted to add that with BMX cheap headsets always had a little slop to them. The problem is if there was too much slop and you took a jump you were risking cracking the headtube of the frame.

Hopefully this pic will show up

(Pic borrowed from Bicycle recyclery)
But that's a pic of an old Dura Ace headset. You will notice a huge difference is all the rubber gaskets to help seal the bearings and hopefully cut down on maintenance. Might be redundant if you are the type to ensure you keep up on cleaning bearings, but there's plenty of riders out there who are clueless about tuning up a bike.

If you look at the tech sheet you will see that they went as far as to coat the lower cone in titanium to reduce wear.