I’ve used cheap mechanical pencils before but not expensive ones. How much better are more expensive mechanical pencils?

I'm not talking exclusive, here, koh-i-noor clutch pencils start at... wait no those are plastic ones and a ten set (30 Euro). Metal ones 4.50 Euros or such. Cheapest Staedler I'm seeing is 9 for metal, 5 for plastic. The real difference is the leads: No scratching, just pure smoothness, from either company. 2mm diameter x 12cm length, it's a standard. Bought a handful for sketching purposes, you can actually use 6B leads in clutch pencils those would instantly break with modern mechanical pencils, and you can shape the tip, expose lots of lead to have lots of surface area, etc. I then went ahead and also used them for less artistic purposes. What you do have to get accustomed to is the lead falling straight down and out when you press the button if you don't catch it with the table. Oh and bonus: Those 2mm leads also should fit your compass, just break off a piece and sharpen it.

I'd say they're more like better wood pencils than mechanical ones with thin leads, where you have the choice between constantly breaking leads or using 0.9mm leads which are less likely to break, but you'll be stuck with producing thick lines as sharpening them really is silly.