ON isn't four times the price. ON gold standard is R1000 for 2.2kg, Nutritech 100% pure whey is R500 odd for 2kg. So about 2 times the price.
Gains are also not the same. There are countless reviews out there by people claiming that their gains improved with ON. The ON and Dymatize have a lot more isolate than cheaper proteins, is absorbed faster and therefore you pay a premium price.
Plus it tastes ****ing great.
Please don't get me wrong, I'm not saying cheaper whey is bad ( except USNs and a few others ).
I don't take P/Ws, only good protein/bcaa/vitamins to help with recovery. Bean coffee is my pre workout

.
Your argument can apply to almost anything. Why do people choose to buy nice cars? Nice house? Good food? An expensive merc does the same thing as a cheap kia, but it does it better. Same with protein powder.
Also
http://www.bodybuilding.com/fun/2013-supplement-awards.html