I don't really believe it either, and in fact the Harman Research from Olive & Toole showed that there was no correlation between headphone price and user preference. I think really headphone quality comes down to a number of factors: frequency response, distortion, soundstage, channel matching. Frequency Response generally being the most influential as long as the other variables aren't completely messed up.....and indeed a lot of the boutique headphones have crazy messed up frequency responses with many jagged peaks & dips and often no particular rhyme or reason to the general shape of the frequency response. Distortion is an easy one to characterise, you measure it, but then the debate comes down to what levels of distortion are audible and also what SPL level should you measure distortion at.....for instance I know I don't listen loud (I calculated it) so I know Amir's 94dB distortion measurement is the only one that has relevance for me, and only then in the bass. Soundstage is very hard to characterise & no one really knows but it seems to be down to angled pads/drivers and large ear cups along with the frequency response heavily affecting this characteristic too. Channel Matching is easy to measure, and I've recently done a channel matching EQ for my K702 headphone, as Oratory measured my actual unit so I was able to channel match the channels exactly/perfectly (in frequency response from 20-10000Hz).....I think this has enhanced vocal clarity and beauty, found myself being able to understand words in previously difficult to understand vocals, as well as seeming to open up a bit more detail in subtle reverb on some voices or instruments in the recording, and also seemed to allow me to notice subtle or quick panning effects that I'd not noticed before - I have the impression that channel matching is a variable that can suffer in cheaper headphones as the manufacturer has not been able to include the time & expense to allow for proper selection of matching drivers. In conclusion I think I'd say there's not really a link between price & quality, with the exception of channel matching and possibly lower distortion in more expensive headphones, but re distortion & price less of a correlation as there are some expensive headphones with horrendous distortion.
For instance after EQ, I'm not particularly convinced there'd be a noticeable difference between this headphone reviewed and it's cheaper planar headphone the HE4XX that I have (HE4XX based on the HE400i):
HE6se:
View attachment 131267
View attachment 131269
HE400i:
View attachment 131268
View attachment 131270
EQ can sort out the frequency response differences, and even though distortion is higher in the HE400i, for me the only relevant measured level is 94dB - the blue line, and even 94db is too loud for me when it comes to mid & treble, but the bass level distortion shown on the 94dB is certainly relevant to how I use my headphones, which is comfortably low on the HE400i. So yes, I don't believe in the ultra expensive headphone hype train, there's definitely a balance to be had. I'd try to buy a headphone that doesn't have glaring frequency response issues, reasonable distortion results, angled drivers/pads and good channel matching - this doesn't have to be an expensive headphone (and of course EQ the frequency response if it's been measured, I wouldn't buy a headphone that hasn't been measured).