I wonder if expensive musical instruments fall into the category of "think I can tell the difference, but I'm fooling myself"
Depends. My main area of expertise here is acoustic instruments, where design, quality of materials, and quality of manufacture play a significant part in both the cost and the quality of the instrument.
At my level of playing, I know that I could quite easily tell the difference between a £100, £1000, £10000, and £30000 violin (I know this because we had a little game amongst a bunch of us once to pick them out) . The higher-priced two were harder for me to tell apart, so I'm not confident I'd be able to, say, pick out a £2m Stradivarius. Indeed, I gather that some top spec instruments sound worse in the hands of less experienced players, so the Strad might be harder for me to play as well as the £1000 one. But, played by an expert, it is not hard to identify the qualities of a really good (ie., expensive) instrument.
And it is quite surprising how closely cost correlates with quality. In the test above, the £1000 fiddle was mine - given (lent, really) to me by my dad - a 1796 German effort that was probably made as a "pit fiddle" to be owned by a theatre. It caused some confusion amongst other players, as it plays like a much better instruments, perhaps one 2-5 times its value. The reason for that is that its valuation is very low (hence the reason my dad had it - he paid £40 for it in 1973),because it had been badly damaged, and repaired well enough, but not cosmetically. So it served a a handy blind in our unscientific test.
With electric instruments, I cannot see how the same might not prevail - there is still a lot of scope for quality of manufacture and materials there, too.
And remember that the user base for higher end musical instruments already has a high degree of training and skill, so are less likely to be misled by marketing dazzlement over practical, subjective listening, and I bet that's as true of Strats as it is of Strads.