The question was asked some time ago. More recently, Adam Kerin of Zero Friction Cycling collaborated with Cyclingtips for an article on chain durability. Thus, it's possible to give an objective answer for one component: the chain.
Shimano's top 3 road groups in ascending order of price are 105, Ultegra, and Dura Ace. Shimano applies low-friction coatings to these groups, and the number of coated parts and possibly the quality of the coatings increases as you go up. I haven't investigated, but I suspect that chains for Tiagra and Sora may not have low-friction coatings at all.
Differences in chain lifespan
Back to the chain, go to the figure for 11-speed chain durability in the Cyclingtips article. Focus on the red bars, which are service life as measured by kilometers traveled on a test rig before the chain hit 0.5% wear as measured by the distance between two rollers (disregard the other set of bars for now; the reason is complicated, so read the article in detail; also note that the test protocol deliberately accelerated chain wear so that Kerin could get results within a reasonable time). For the Shimano chains, Kerin's sample of Dura Ace chains had the shortest service life (NB: the article states that the sample of DA chains was small relative to the others, and it could have been a bad batch). 105 had the second-shortest service life. Ultegra had the longest. For Campagnolo, 11s Chorus and Record had similar service lives. These were the third and second from the top groups, but note that Chorus should be roughly equivalent to Ultegra and Record to Dura Ace. Super Record doesn't have its own chain (and can be thought of as Dura Ace with many fancy carbon, ceramic, and titanium bits added, adding considerable cost and lower weight but no change in function). I'm less familiar with SRAM's 11s groups, but their 11s Red chain appeared to have a similar life to the lower chains.
The Cyclingtips article also argued that for Shimano chains at least, as the number of speeds increased and as the chain thickness decreased, durability actually increased. The article attributed this to improved manufacturing processes. The article didn't discuss Tiagra (currently 10s, versus Shimano's 11s top three groups) and lower groups, and I'm not sure if Shimano trickles down any manufacturing improvements to the lower groups. If they make Tiagra chains on the same processes they used for the higher groups when they were 10s, then I'd expect Tiagra chains to have shorter lives than the higher groups.
If the Dura Ace chains really have the shortest average service life of Shimano's top 3 road groups, why would anyone use them? Josh Poertner of Silca argues that the Dura Ace chain has the lowest drivetrain friction that he has seen in testing. He attributes this to the chain's surface finish and the shaping of the chain parts.
Moving off chains, Ultegra cassettes appear to gain nickel or similar coating over 105 cassettes, which may help with durability. Dura Ace keeps that coating on the steel cogs, but it gains titanium cogs for weight reduction (and I'm not sure if these are coated, but they most definitely will wear faster; it's a matter of physics). 105 uses slick stainless shift and brake cables, whereas Ultegra and Dura Ace gain teflon-coated cables (NB: Shimano appears to claim these don't last as long as the slick stainless cables). This BikeRadar review of the current generation of Shimano 105 noted that 105's shifting didn't feel as crisp as Ultegra to the reviewer. That is likely attributable to the cables.
That review also noted that some parts had more slop than their Ultegra equivalents. This brings up a point that was also raised in the Cyclingtips article: tolerances. Every component on your bike, including the little bits and pieces you never thought to name, has a set of dimensions associated with it, e.g. the chain pins have a width and a diameter, and probably some other parameters I haven't even thought of. For each parameter, there's an allowed tolerance, or variance. If you ask an engineer, I believe they will confirm that the overall tolerance of a complex piece is the sum of the tolerances of the individual bits (for statisticians, the variance of a sum of random variables is the sum of each variable's variance).
Logically, as price increases, I would expect the tolerances to decline. However, this decline may not be linear, and it may have a floor, e.g. you may not be able to get the ball bearings any rounder past a certain ABEC grade, and past a certain grade it may not even matter for bicycle bearings. The slightly sloppier feel of the 105 components may speak to slightly larger tolerances.
Will tighter tolerances always translate to better durability? Having no background in manufacturing, I'd speculate that they may, in some situations, and probably only up to a point. In any case, current conventional wisdom appears to be that if you're looking at Shimano's top three groups, average riders won't see any substantive gains in durability with pricier groups. In some situations, e.g. the chains and cassettes, the top tier option may be less durable, at least for parts made from exotic but not durable materials. With Campagnolo, the argument applies to at least the top 4 groups, but note that currently, Potenza is 11s and Chorus and higher have 12s. The same can likely be said of SRAM's Red and Force AXS groups, noting that there don't appear to be 12s mechanics Red and Force groups, Rival hasn't transitioned to 12s, and Rival is also unlikely to get electronic shifting.
For groups lower than 105, Rival, and Potenza, I would expect somewhat lower durability, all else equal, based on the reasoning above. Defining "somewhat" is hard, but I'd expect the difference to be small. For example, the average lifespan of the tested 105 chains was about 2,200km, versus about 2,400km for the Ultegra chains. That's not a large absolute difference. Keeping in mind that the test protocol deliberately caused higher chain wear to reduce testing time, remember that if you clean and otherwise take care of your equipment, it will last longer. As a subjective bonus it will also look nicer.
Among the top groups, if we discount the exotic materials, differences in durability may be harder to sort out. Based on the economic principle of diminishing marginal returns, I'd expect the differences between the top groups to be small, and to diminish as you move up. For the consumable parts that are clearly made of exotic materials, it's perfectly acceptable to down-spec, e.g. run a Super Record group with a Chorus cassette; when everything was 10s, I ran Chorus with a Veloce chain and cassette.