PCGS coined their slogan around this topic, i.e., PCGS’ slogan has been, “PCGS: The Standard for the Rare Coin Industry.”

I dont know about other’s reasons, and nothing specific to “expensive” coins, but in my case I was weighing the 2 “big guys” – NGC and PCGS (with ANACS being around longer, but 3rd on the list for whatever reason).
NGC seems to have these opaque white core holders. Especially in the case of the silver Eagles, the round cut-out for the coin goes right up to the rim. Its not always the case tho.
PCGS uses a more clear plastic, but ultimately this is also opaque-ish. But they dont always go right up to the rim, you can see some of the edge. This gives some perspective of thickness.
My only example of a case this really mattered to me was the 2016 30th anniv ASE with lettered edge. You can make out that the edge is flat with some lettering, but alas, you cannot really read it in a PCGS holder. Glad I held 1 in reserve in OGP. You can read it thru the airtite capsule.
YMMV.

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On the other hand, some NGC graded coins I have, the holder has more … heft to ’em. A bit thicker plastic. *shrug*

I’m not sure.