Thats actually good question. People do get trained to enjoy more complicated wines (they don't need to be more expensive, but they usually are).

I would use analogy with pop music and classical music or modern jazz. For a lots and lots of people your club-night-out pop music will give more pleasure than sitting in auditorium listening to Rachmaninoff.

Drinking wine and spending time learning to appreciate the wine are two very different paths. Whenever it is worth it is another question. But there are differences between cheap-industrial-pop wines and fine wines.