Not necessarily. As long as a helmet meets safety standards it will help protect your noggin as well as most others. The most important thing (after safety materials) is proper fit and wearing it correctly.
Certain features will drive up a helmet's price (venting, incremental tightening, integrated visors, paint schemes, etc...) while having no bearing on actual protection. But other features which may drive up the price *do* aid in protection (collision materials and tech).