Oh, I think they have tighter tolerances as well. .. and that's probably the biggest reason for increased cost. You want repeatable results, sometimes even matched when building hifi/pro audio. That's their market. Not pedals and car stereos.
No. If you can hear the difference of a quality electro and an audio grade electro in a guitar pedal, there's 100 other things about guitar pedals that will worry you more. If you are recapping a studio pre, console or something, go for it. On a 9v rail, it won't make a difference over a good cap. You can use them for bragging rights, as I'm sure some do... But any minute improvement will be lost to the noise floor of the rest of the circuit/chain. Even better, just don't use electros in the signal path.
I say this as someone who leans to using higher quality components when able.