Since there's no numbers attached to the energy star certification itself, it's a meaningless label that doesn't really tell what the difference is. With the energy guide labels, at least there's a point of comparison.
Even then, the difference between models of a few types of appliances I checked were typically in the 1-3% of the product cost range. The single biggest I could find online happened to be in TVs, where one brand's 65" was half the estimated annual electric cost of another- a savings of $20 per year! It'd pay for the difference in price between the models in 3 years, and pay for itself in 25!
Granted, I didn't see numbers for the likely worst offenders: central air conditioning and electric ovens.
The energy guide (yellow label with cost estimates) is mandatory for most appliances. The energy efficiency is quantified as an estimated annual cost of operation.
Energy star certification is a voluntary and binary thing. There's no readily visible difference between appliances with or without the energy star certification, short of going back to the energy guide label to compare.
There are knock on effects like economies of scale making energy efficient parts cheaper to source, marketing the latest technology driving consumer expectations, and manufacturers flat out copying each others’ designs.