Probably the biggest difference is in overclocking features for high core-count CPU's. Especially overclocking on LN2 where power draw on the VRM is insane even if only for a few minutes to demonstrate a crazy high clock speed and shut down.
But there are other features: some boards come with multiple high-bandwidth internet ports, high(er) fidelity audio sections, WiFi and some other features. And if memory overclocking at low latency is a priority more layers in the PWB fabrication allow for more direct and highly optimized layout of the data traces to assist with that.
After that, it's mostly in the bling: huge, high-style heatsinks on everything (even if it doesn't need it), RGB, armoring across the surface with flashy decals. Oh, and more RGB. Lots more RGB.
None of that means you're not able to get 95-99% of the performance of those boards for straight-up computing and gaming. The extremely powerful VRM's on those boards do allow holding very low and stable voltage for fixed overclocking. But the actual performance of the system will be very similar to an optimized PBO which works very well with lesser VRM's without all that drama (or the risk of degrading your CPU early) . Extreme overclocking on LN2 is not sustainable since you simply can't run a system that way.
Getting the extremely high memory overclocks with low latency isn't done easily and most people aren't willing to go through the effort needed to get it stable. And when you do get it you have to run some pretty sensitive benchmarks to really notice the difference.
In the end: it's a prestige purchase. Don't ask why, just buy it and know it's the "best" no matter how small the margin.