Higher end ones are built heavier with better components. This helps them cook more efficient, as well as last longer, structurally. They usually have better cooking manners (less flame-ups, more even cooking, better smoke volume, easier cleaning access, pellet dump port, etc), but not always.
That being said, there are a few companies that have successfully incorporated some higher end features in their more affordable models, Pit Boss being one of them. I’ve heard very few that were totally disappointed in their’s, and most of those didn’t replace them with another pellet grill.